Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.
Pavlo KovalovVadim LinetskyMichael D. MarcozziPublished in: J. Sci. Comput. (2007)
Keyphrases
- finite element method
- numerical simulations
- finite element
- option pricing
- boundary conditions
- numerical solution
- diffuse optical tomography
- black scholes model
- double exponential
- financial markets
- boundary element method
- numerical methods
- finite element model
- temperature field
- theoretical analysis
- image analysis
- objective function
- finite difference method
- column generation
- computer vision
- genetic algorithm