A Reduced Basis Method for the Simulation of American OptionsReport as inadecuate




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1 IANS - Institut für Angewandte Analysis und Numerische Simulation Stuttgart 2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision 3 LNM - Lehrstuhl fuer Numerische Mathematik

Abstract : 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.

Keywords : Reduced basis american option variationnal inequlities Black-Scholes





Author: Bernard Haasdonk - Julien Salomon - Barbara Wohlmuth -

Source: https://hal.archives-ouvertes.fr/



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