Real options pricing by the finite element method

DOI10.1016/J.CAMWA.2011.03.070zbMath1221.91052DBLPjournals/cma/Andalaft-ChacurAS11OpenAlexW2005456640WikidataQ57931965 ScholiaQ57931965MaRDI QIDQ639116

M. Montaz Ali, J. González Salazar, A. Andalaft-Chacur

Publication date: 18 September 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.03.070

zbMATH Keywords

uncertaintyfinite element methodpartial differential equationsreal optionoption pricing problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (5)

Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option ⋮ Numerical solution of generalized Black-Scholes model ⋮ A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The valuation of multidimensional American real options using the LSM simulation method
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
• ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
• Numerical volatility in option valuation from Black–Scholes equation by finite differences
• Option pricing: A simplified approach

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