A Reduced Basis Method for the Simulation of American Options
Résumé
We present a reduced basis method for the simulation of American option pricing. To tackle this model numerically, we formulate the problem in terms of a time dependent variational inequality. Characteristic ingredients are a POD-greedy and an angle-greedy procedure for the construction of the primal and dual reduced spaces. Numerical examples are provided, illustrating the approximation quality and convergence of our approach.
Origine | Fichiers produits par l'(les) auteur(s) |
---|
Loading...