Fast numerical valuation of American, exotic and complex options
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DOI: 10.1080/135048697334809
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References listed on IDEAS
- Patrick Jaillet & Damien Lamberton & Bernard Lapeyre, 1990. "Variational inequalities and the pricing of American options," Post-Print hal-01667008, HAL.
- J. M. Borwein & M. A. H. Dempster, 1989. "The Linear Order Complementarity Problem," Mathematics of Operations Research, INFORMS, vol. 14(3), pages 534-558, August.
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Cited by:
- Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
- Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
- P. A. Forsyth & K. R. Vetzal & R. Zvan, 1999. "A finite element approach to the pricing of discrete lookbacks with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 87-106.
- Nigel Clarke & Kevin Parrott, 1999. "Multigrid for American option pricing with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 177-195.
- Vladimir V. Piterbarg, 2004. "Risk Sensitivities Of Bermuda Swaptions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 465-509.
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Keywords
Options; Swaps; Parabolic Pdes; Direct Numerical Methods; Linear Programming;All these keywords.
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