A Reduced Basis Method for the Simulation of American Options
Optimization and Control
2012-01-17 v1
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
Cite
@article{arxiv.1201.3289,
title = {A Reduced Basis Method for the Simulation of American Options},
author = {Bernard Haasdonk and Julien Salomon and Barbara Wohlmuth},
journal= {arXiv preprint arXiv:1201.3289},
year = {2012}
}