A numerical scheme for pricing American options with transaction costs under a jump diffusion process

DOI10.3934/jimo.2017019zbMath1422.91768OpenAlexW2560115165MaRDI QIDQ2411163

Donny Citra Lesmana, Songgui Wang

Publication date: 20 October 2017

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

Full work available at URL: https://doi.org/10.3934/jimo.2017019

zbMATH Keywords

convergenceAmerican option pricingnonlinear complementarity problempenalty methodupwind finite differencenonlinear partial integro-differential equation

Mathematics Subject Classification ID

Related Items (5)

Numerical solution of an obstacle problem with interval coefficients ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method ⋮ Pricing options on investment project expansions under commodity price uncertainty ⋮ Penalty method for indifference pricing of American option in a liquidity switching market

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