Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets

Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets

In this paper, an efficient numerical algorithm is proposed for the valuation of unilateral American better-of options with two underlying assets. The pricing model can be described as a backward parabolic variational inequality with variable coefficients on a two-dimensional unbounded domain. It ca...

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Bibliographic Details
Main Authors: Yiyuan Qian, Haiming Song, Xiaoshen Wang, Kai Zhang
Format: Article
Language:English
Published: AIMS Press 2022-01-01
Series:Electronic Research Archive
Subjects:
american better-of option
far-field truncation technique
linear complementary problem
finite element method
primal-dual active-set method
Online Access:https://www.aimspress.com/article/doi/10.3934/era.2022005?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/era.2022005?viewType=HTML

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