Variational inequalities applied to option market problem

DOI10.1016/J.AMC.2007.12.033zbMath1142.91528OpenAlexW1985264054MaRDI QIDQ945263

V. P. Israel, M. A. Rincon

Publication date: 12 September 2008

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

Full work available at URL: https://doi.org/10.1016/j.amc.2007.12.033

zbMATH Keywords

variational inequalitiesoption pricingfinite elements methodsSOR method

Mathematics Subject Classification ID

Variational inequalities (49J40)

Related Items (1)

Pricing American options under Azzalini Ito-McKean skew Brownian motions

Cites Work

• The Pricing of Options and Corporate Liabilities
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• Some mathematical results in the pricing of American options
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