Result: Numerical solution of variational inequalities for pricing asian options by higher order Lagrange-Galerkin methods
Title:
Numerical solution of variational inequalities for pricing asian options by higher order Lagrange-Galerkin methods
Authors:
Source:
Selected papers from the First Chilean Workshop on Numerical Analysis of Partial Differential Equations (WONAPDE 2004)Applied numerical mathematics. 56(10-11):1256-1270
Publisher Information:
Amsterdam: Elsevier, 2006.
Publication Year:
2006
Physical Description:
print, 34 ref
Original Material:
INIST-CNRS
Subject Terms:
Mathematics, Mathématiques, Mechanics acoustics, Mécanique et acoustique, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Equations aux dérivées partielles, Partial differential equations, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Equations aux dérivées partielles, problèmes aux valeurs limites, Partial differential equations, boundary value problems, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Optimisation et calcul variationnel numériques, Numerical methods in optimization and calculus of variations, Contrainte inégalité, Inequality constraint, Constreñimiento desigualdad, Equation dérivée partielle, Partial differential equation, Ecuación derivada parcial, Fixation prix, Pricing, Fijación precios, Fonction valeur, Value function, Función valor, Inégalité variationnelle, Variational inequality, Desigualdad variacional, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Modèle Black Scholes, Black Scholes model, Modelo Black Scholes, Méthode itérative, Iterative method, Método iterativo, Option américaine, American option, Opción americana, Option asiatique, Asian option, Opción asiatica, Problème valeur initiale, Initial value problem, Problema valor inicial, Problème valeur limite, Boundary value problem, Problema valor limite, Schéma Lagrange Galerkin, Lagrange Galerkin scheme, Esquema Lagrange Galerkin, Solution numérique, Numerical solution, Algorithme dualité, Duality algorithm, Modèle factoriel, Factor model, Ordre partiel, Solution forme close, Amerasian options, Black-Scholes models, Lagrange-Galerkin method
Document Type:
Conference
Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Departamento de Matemática Aplicada, Universidade de Santiago, Campus Sur s/n, 15706-Santiago, Spain
Departamento de Matemáticas, Universidade du Coruña, Campus Elviña s/n, 15071 Coruña, Spain
Departamento de Matemáticas, Universidade du Coruña, Campus Elviña s/n, 15071 Coruña, Spain
ISSN:
0168-9274
Rights:
Copyright 2006 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.18041684
Database:
PASCAL Archive
Further Information
Asian options prices can be modelled in the Black-Scholes framework leading to two-factor models depending on the asset price, the average of the asset price and the time. They can also involve inequality constraints, as in the case of Amerasian options, leading to variational inequalities (VI). In the first section, we completely describe the pricing model for fixed-strike Eurasian and Amerasian options and list some properties satisfied by the option value function. Then, since no solutions in closed form are known, we deal with the numerical solution of the above problems proposing a general methodology: an iterative algorithm for the VI, combined with higher order Lagrange-Galerkin methods for partial differential equations. Finally, numerical results are shown.