PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
type: Item
instance of: scholarly article
title: PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
zbMATH Open document ID: 1448.91291
author: Iñigo Arregui
author: Beatriz Salvador
author: Daniel Ševčovič
author: Carlos Vázquez
publication date: 2020-10-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 65M25
Mathematics Subject Classification ID: 65M60
zbMATH DE Number: 7256673
zbMATH Keywords: American option pricing
zbMATH Keywords: counterparty risk
zbMATH Keywords: (non)linear PDEs
zbMATH Keywords: parabolic variational inequalities
zbMATH Keywords: method of characteristics
zbMATH Keywords: finite elements
MaRDI profile type: Publication
full work available at URL: j.camwa.2019.09.014
OpenAlex ID: W2978027618
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Wikidata QID: Q127216485
DOI: 10.1016/J.CAMWA.2019.09.014
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7256673