A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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DOI: 10.1080/135048699334564
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- D. M. Pooley & P. A. Forsyth & K. R. Vetzal & R. B. Simpson, 2000. "Unstructured meshing for two asset barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(1), pages 33-60.
- Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
- Carole Bernard & Junsen Tang, 2016. "Simplified Hedge For Path-Dependent Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-32, November.
- Garnadi, Agah D., 2017. "Valuasi Opsi Beli ({\it Call Options}) Eropa bervolatilitas Stokastik dengan menggunakan Modifikasi Metode Karakteristik dan Metode Elemen Hingga," INA-Rxiv fhbsx, Center for Open Science.
- Windcliff, H. & Vetzal, K. R. & Forsyth, P. A. & Verma, A. & Coleman, T. F., 2003. "An object-oriented framework for valuing shout options on high-performance computer architectures," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1133-1161, April.
- Bertram Düring & Michel Fournié & Ansgar Jüngel, 2003.
"High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 767-789.
- Düring, Bertram & Fournié, Michel & Jüngel, Ansgar, 2001. "High order compact finite difference schemes for a nonlinear Black-Scholes equation," CoFE Discussion Papers 01/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
- P. Forsyth & K. Vetzal & R. Zvan, 2002. "Convergence of numerical methods for valuing path-dependent options using interpolation," Review of Derivatives Research, Springer, vol. 5(3), pages 273-314, October.
- Simona Sanfelici, 2004. "Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 125-151, December.
- Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Lookback Option Pricing under Markov Models," Papers 2112.00439, arXiv.org.
- Farzad Alavi Fard, 2014. "Optimal Bid-Ask Spread in Limit-Order Books under Regime Switching Framework," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 33-48, November.
- Raahauge, Peter, 2004. "Higher-Order Finite Element Solutions of Option Prices," Working Papers 2004-5, Copenhagen Business School, Department of Finance.
- Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
- Hongshan Li & Zhongyi Huang, 2020. "An iterative splitting method for pricing European options under the Heston model," Papers 2003.12934, arXiv.org.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Rakhymzhan Kazbek & Yogi Erlangga & Yerlan Amanbek & Dongming Wei, 2023. "Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method," Papers 2301.10734, arXiv.org.
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Keywords
Finite Element; Lookback; Stochastic Volatility;All these keywords.
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