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...
| Hlavní autoři: | , , , |
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| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
AIMS Press
2022-01-01
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| Edice: | Electronic Research Archive |
| Témata: | |
| On-line přístup: | https://www.aimspress.com/article/doi/10.3934/era.2022005?viewType=HTML |