KFU. Card publication. Three new weak formulations of the problem of American call options valuation

KAZAN
FEDERAL UNIVERSITY

- RUS
- 中文
- ES

THREE NEW WEAK FORMULATIONS OF THE PROBLEM OF AMERICAN CALL OPTIONS VALUATION

Form of presentation

Conference proceedings in international journals and collections

Year of publication

2019

ßçûê

àíãëèéñêèé

Authors, employees of KFU

Dautov Rafail Zamilovich, author

Bibliographic description in the original language

Dautov R.Z, Lapin A.V. Three new weak formulations of the problem of American call options valuation//Journal of Physics: Conference Series. - 2019. - Vol.1158, Is.2. - Art. ¹ 022033.doi:10.1088/1742-6596/1158/2/022033

Annotation

Journal of Physics: Conference Series

Keywords

American options, finite element method, error estimate

The name of the journal

Journal of Physics: Conference Series

Please use this ID to quote from or refer to the card

https://repository.kpfu.ru/eng/?p_id=205082&p_lang=2

Full metadata record

Field DC	Value	Language
dc.contributor.author	Dautov Rafail Zamilovich	ru_RU
dc.date.accessioned	2019-01-01T00:00:00Z	ru_RU
dc.date.available	2019-01-01T00:00:00Z	ru_RU
dc.date.issued	2019	ru_RU
dc.identifier.citation	Dautov R.Z, Lapin A.V. Three new weak formulations of the problem of American call options valuation//Journal of Physics: Conference Series. - 2019. - Vol.1158, Is.2. - Art. ¹ 022033.doi:10.1088/1742-6596/1158/2/022033	ru_RU
dc.identifier.uri	https://repository.kpfu.ru/eng/?p_id=205082&p_lang=2	ru_RU
dc.description.abstract	Journal of Physics: Conference Series	ru_RU
dc.description.abstract	Three new weak formulations of the problem of American call options valuation are given. The first of these is a parabolic obstacle problem in a finite domain. The second is a parabolic variational inequality with a convex and Lipschitz-continuous functional and the last one is a semilinear parabolic equation with a discontinuous spatial operator. All these problems are equivalent – they have the same unique solution. Different formulations can be used both for theoretical research and for constructing numerical methods.	ru_RU
dc.language.iso	ru	ru_RU
dc.subject	American options	ru_RU
dc.subject	finite element method	ru_RU
dc.subject	error estimate	ru_RU
dc.title	Three new weak formulations of the problem of American call options valuation	ru_RU
dc.type	Conference proceedings in international journals and collections	ru_RU