A numerical analysis of variational valuation techniques for derivative securities

DOI10.1016/j.amc.2003.10.041zbMath1080.91040OpenAlexW2045718021MaRDI QIDQ702595

I. Sapariuc, Michael D. Marcozzi, Joseph E. Flaherty

Publication date: 17 January 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2003.10.041

zbMATH Keywords

Variational inequalitiesMathematical financeFinite element discretizationOption pricing

Mathematics Subject Classification ID

Related Items (15)

Implicit-explicit Runge-Kutta methods for financial derivatives pricing models ⋮ An efficient finite element method for pricing American multi-asset put options ⋮ Error estimates for backward Euler finite element approximations of American call option valuation ⋮ Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty ⋮ Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing ⋮ Penalty methods for the numerical solution of American multi-asset option problems ⋮ Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management ⋮ On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance ⋮ An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options ⋮ On the valuation of interest rate products under multi-factor HJM term-structures ⋮ Extrapolation discontinuous Galerkin method for ultraparabolic equations ⋮ Sharp error estimate for implicit finite element scheme for American put option ⋮ Optimal control of ultradiffusion processes with application to mathematical finance ⋮ Finite volume methods for the valuation of American options ⋮ Semi-implicit FEM for the valuation of American options under the Heston model

Uses Software

• Matlab
• ode23
• ode45
• Ode15s
• ode113
• ode23s
• MATLAB ODE suite
• AS 195

Cites Work

• Penalty methods for American options with stochastic volatility
• Far Field Boundary Conditions for Black--Scholes Equations
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• The MATLAB ODE Suite
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Some mathematical results in the pricing of American options
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