A Reduced Basis Method for the Simulation of American Options
A Reduced Basis Method for the Simulation of American Options
复制标题
模拟美式期权的降基法
DOI：
10.1007/978-3-642-33134-3_85
复制
发表时间：
2012
期刊：
影响因子：
--
通讯作者：
B. Wohlmuth
中科院分区：
文献类型：
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作者：
B. Haasdonk;J. Salomon;B. Wohlmuth
提出了一种简化基的方法来模拟美式期权定价。为了在数值上解决这个模型，我们用时间相关的变分不等式来表述这个问题。特征成分是构造原约化空间和对偶约化空间的求角程序和求角程序。给出了数值算例，说明了该方法的逼近性和收敛性。
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.