Lattice Boltzmann method for the linear complementarity problem arising from American option pricing

DOI10.1088/1751-8121/ad5e4aMaRDI QIDQ6577172

Qi Zhang, Fangfang Wu, Ying-Ying Wang, Yi Zhang

Publication date: 23 July 2024

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

zbMATH Keywords

linear complementarity problemlattice Boltzmann methodpenalty methodfar field estimate methodmulti-asset American options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic stochastic general equilibrium theory (91B51)

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