Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme

DOI10.3934/JIMO.2013.9.365zbMath1276.49016OpenAlexW2323282084WikidataQ59416167 ScholiaQ59416167MaRDI QIDQ380461

Wen Li, Songgui Wang

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.365

zbMATH Keywords

Hamilton-Jacobi-Bellman equationspenalty methodsAmerican option valuationupwind finite difference method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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