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.
CITATION STYLE
Haasdonk, B., Salomon, J., & Wohlmuth, B. (2013). A Reduced Basis Method for the Simulation of American Options. In Numerical Mathematics and Advanced Applications 2011 (pp. 821–829). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-33134-3_85
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