An efficient finite element method for pricing American multi-asset put options
• We consider a penalty method in which the LCP could be reformulated into a nonlinear parabolic problem on an unbounded domain. • For the unbounded computational domain, a perfectly matched layer (PML) technique is applied to truncate it. • We use a semi-implicit finite element method (SIFEM) to so...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Zhang, Ran [verfasserIn] |
|---|
| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2015 |
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| Umfang: |
12 |
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| Übergeordnetes Werk: |
Enthalten in: Proximity-dependent protein detection based on enzyme-assisted fluorescence signal amplification - Tan, Yuyu ELSEVIER, 2014transfer abstract, Amsterdam [u.a.] |
|---|---|
| Übergeordnetes Werk: |
volume:29 ; year:2015 ; number:1 ; pages:25-36 ; extent:12 |
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| DOI / URN: |
10.1016/j.cnsns.2015.03.022 |
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10.1016/j.cnsns.2015.03.022 doi GBVA2015017000029.pica (DE-627)ELV023848308 (ELSEVIER)S1007-5704(15)00106-9 DE-627 ger DE-627 rakwb eng 510 510 DE-600 570 VZ 610 VZ 630 640 VZ 49.00 bkl Zhang, Ran verfasserin aut An efficient finite element method for pricing American multi-asset put options 2015 12 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier • We consider a penalty method in which the LCP could be reformulated into a nonlinear parabolic problem on an unbounded domain. • For the unbounded computational domain, a perfectly matched layer (PML) technique is applied to truncate it. • We use a semi-implicit finite element method (SIFEM) to solve the resulting bounded domain problem related to the option. Zhang, Qi oth Song, Haiming oth Enthalten in Elsevier Tan, Yuyu ELSEVIER Proximity-dependent protein detection based on enzyme-assisted fluorescence signal amplification 2014transfer abstract Amsterdam [u.a.] (DE-627)ELV012515639 volume:29 year:2015 number:1 pages:25-36 extent:12 https://doi.org/10.1016/j.cnsns.2015.03.022 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 49.00 Hauswirtschaft: Allgemeines VZ AR 29 2015 1 25-36 12 045F 510 |
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• We consider a penalty method in which the LCP could be reformulated into a nonlinear parabolic problem on an unbounded domain. • For the unbounded computational domain, a perfectly matched layer (PML) technique is applied to truncate it. • We use a semi-implicit finite element method (SIFEM) to solve the resulting bounded domain problem related to the option. |
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• We consider a penalty method in which the LCP could be reformulated into a nonlinear parabolic problem on an unbounded domain. • For the unbounded computational domain, a perfectly matched layer (PML) technique is applied to truncate it. • We use a semi-implicit finite element method (SIFEM) to solve the resulting bounded domain problem related to the option. |
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reformulated into a nonlinear parabolic problem on an unbounded domain. • For the unbounded computational domain, a perfectly matched layer (PML) technique is applied to truncate it. • We use a semi-implicit finite element method (SIFEM) to solve the resulting bounded domain problem related to the option.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Zhang, Qi</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Song, Haiming</subfield><subfield code="4">oth</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="n">Elsevier</subfield><subfield code="a">Tan, Yuyu ELSEVIER</subfield><subfield code="t">Proximity-dependent protein detection based on enzyme-assisted fluorescence signal amplification</subfield><subfield code="d">2014transfer abstract</subfield><subfield code="g">Amsterdam [u.a.]</subfield><subfield code="w">(DE-627)ELV012515639</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:29</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:25-36</subfield><subfield code="g">extent:12</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1016/j.cnsns.2015.03.022</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ELV</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_U</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">49.00</subfield><subfield code="j">Hauswirtschaft: Allgemeines</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">29</subfield><subfield code="j">2015</subfield><subfield code="e">1</subfield><subfield code="h">25-36</subfield><subfield code="g">12</subfield></datafield><datafield tag="953" ind1=" " ind2=" "><subfield code="2">045F</subfield><subfield code="a">510</subfield></datafield></record></collection>
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