A Reduced Basis Method for the Simulation of American Options
  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. 
Bernard Haasdonk (IANS), Julien Salomon (CEREMADE), Barbara Wohlmuth   (LNM)
math.OC