Infinite reload options: pricing and analysis

DOI10.1016/j.cam.2007.10.013zbMath1151.91479OpenAlexW2010184886MaRDI QIDQ952078

A. C. Bélanger, Peter A. I. Forsyth

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.013

zbMATH Keywords

viscosity solutionimpulse control problemoptimal exerciseimplicit constraintinfinite reload options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Finite element solution of diffusion problems with irregular data
• Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
• A model of optimal portfolio selection under liquidity risk and price impact
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• Optimal Control with State-Space Constraint I
• User’s guide to viscosity solutions of second order partial differential equations
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• Valuing employee reload options under the time vesting requirement
• Shout options: A framework for pricing contracts which can be modified by the investor

This page was built for publication: Infinite reload options: pricing and analysis