Evaluating American put options on zero-coupon bonds by a penalty method

DOI10.1016/j.cam.2011.01.038zbMath1214.91137OpenAlexW1971359250MaRDI QIDQ544230

Hong Jun Zhou, Leong-Kwan Li, Ka-Fai Cedric Yiu

Publication date: 14 June 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.01.038

zbMATH Keywords

finite volume methodlinear complementarity problemAmerican put optionpower penalty methodzero-coupon bond

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (3)

Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model ⋮ Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing

Cites Work

• Variational inequalities and the pricing of American options
• A power penalty method for linear complementarity problems
• Numerical pricing of American put options on zero-coupon bonds.
• Pricing American interest rate option on zero-coupon bond numerically
• Power penalty method for a linear complementarity problem arising from American option valuation
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• The Mathematics of Financial Derivatives

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