African Journal of
Mathematics and Computer Science Research

  • Abbreviation: Afr. J. Math. Comput. Sci. Res.
  • Language: English
  • ISSN: 2006-9731
  • DOI: 10.5897/AJMCSR
  • Start Year: 2008
  • Published Articles: 262

Review

Comparative study of the direct and inverse finite element methods for pricing American options

Bolujo Joseph Adegboyegun
  • Bolujo Joseph Adegboyegun
  • Department of Mathematics, Faculty of Science, Ekiti State University, P. M. B. 5363, Ado-Iworoko Road, Ekiti State, Nigeria.
  • Google Scholar


  •  Received: 16 July 2018
  •  Accepted: 05 February 2019
  •  Published: 28 February 2019

References

Adegboyegun BJ (2018). An inverse finite element method for pricing American options under linear complementarity formulations. Mathematics Applied in Science and Technology 10(1):1-17.

 

Alexandrou AN (1989). An inverse finite element method for directly formulated free boundary problems. International Journal for Numerical Methods in Engineering 28(10):2383-2396.
Crossref

 

Arregui I, Salvador B, Vázquez C (2017). PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. Applied Mathematics and Computation 308:31-53.
Crossref

 

Black F, Scholes M (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81(3):637-654.
Crossref

 

Chemisky Y, Meraghni F, Bourgeois N, Cornell S, Echchorfi R, Patoor E (2015). Analysis of the deformation paths and thermomechanical parameter identification of a shape memory alloy using digital image correlation over heterogeneous tests. International Journal of Mechanical Sciences 96:19-24.
Crossref

 

Cuadrado J, Gutierrez R, Naya MA, Morer P (2001). A comparison in terms of accuracy and efficiency between a MBS dynamic formulation with stress analysis and a nonlinear FEA code. International Journal for Numerical Methods in Engineering 51(9):1033-1052.
Crossref

 

Rao SS (2017). The finite element method in engineering. Butterworth-Heinemann.

 

Uijlings J, Duta IC, Sangineto E, Sebe N (2015). Video classification with densely extracted hog/hof/mbh features: an evaluation of the accuracy/computational efficiency trade-off. International Journal of Multimedia Information Retrieval 4(1):33-44.
Crossref

 

Zhang K, Song H, Li J (2015). Front-fixing FEMs for the pricing of American options based on a PML technique. Applicable Analysis 94(5):903-931.
Crossref

 

Zhu SP (2006). An exact and explicit solution for the valuation of American put 22 options. Quantitative Finance 6(3):229-242.
Crossref

 

Zhu SP, Chen WT (2013). An inverse finite element method for pricing American options. Journal of Economic Dynamics and Control 37(1):231-250.
Crossref