Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
DOI10.4208/eajam.2022-227.221222OpenAlexW4382601808MaRDI QIDQ6139023
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Publication date: 18 December 2023
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/eajam.2022-227.221222
finite element methodlinear complementarity problemprimal-dual active-set methodAmerican exchange option
Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) A priori estimates in context of PDEs (35B45) Derivative securities (option pricing, hedging, etc.) (91G20) Theoretical approximation in context of PDEs (35A35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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