Numerical performance of penalty method for American option pricing

DOI10.1080/10556780903051930zbMath1197.91189WikidataQ59416183 ScholiaQ59416183MaRDI QIDQ3161139

Kai Zhang, Songgui Wang, Xiao Qi Yang, Kok Lay Teo

Publication date: 12 October 2010

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/17748

zbMATH Keywords

finite volume method; option pricing; penalty method; complementarity problem

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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