Computers and Operations Research
Journal of Computational and Applied Mathematics
Penalty methods for the numerical solution of American multi-asset option problems
Journal of Computational and Applied Mathematics
Calibration of a path-dependent volatility model: Empirical tests
Computational Statistics & Data Analysis
On the valuation of interest rate products under multi-factor HJM term-structures
Applied Numerical Mathematics
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
Journal of Computational and Applied Mathematics
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The determination of the value function associated with a given reward and stochastic process represents an important class of stochastic control problem. In particular, the expectations of such processes may be represented as solutions of variational inequalities of evolutionary type typically characterized by their high number of degrees of freedom, unbounded domains, and lack of "natural" boundary conditions. In this paper, we introduce two methodologies for computing the value function of optimal stopping associated with general stochastic processes. Our results are implemented utilizing finite elements and are validated using problems taken from financial mathematics.