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An efficient finite element method for pricing American multi-asset put options · Study

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ArticleAn efficient finite element method for pricing American multi-asset put options

Ran Zhang2015

Article2015

An efficient finite element method for pricing American multi-asset put options

Ran Zhang · Qi Zhang · Haiming Song

23 citations·0/0 files stored·Communications in Nonlinear Science and Numerical Simulation

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

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References

1979Option pricing: A simplified approach 1994Implied Binomial Trees 2006Optimal stopping and free-boundary problems 2011Introduction to Stochastic Calculus Applied to Finance 1998Penalty methods for American options with stochastic volatility 1984On the theory of option pricing 2003A Fast Numerical Method for the Black--Scholes Equation of American Options 2007Penalty methods for the numerical solution of American multi-asset option problems

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Year2015

Typearticle

Published2015-04-18

VenueCommunications in Nonlinear Science and Numerical Simulation

ISSN-L1007-5704

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cnsns.2015.03.022

openalex_workW2057576018

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