A penalty method for American multi-asset option problems
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- Penalty methods for the numerical solution of American multi-asset option problems
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- A power penalty approach to numerical solutions of two-asset American options
- Numerical performance of penalty method for American option pricing
- scientific article; zbMATH DE number 6136940
Cites work
- A penalty method for American options with jump diffusion processes
- An efficient finite element method for pricing American multi-asset put options
- An efficient numerical method for the valuation of American multi-asset options
- Approximations of evolutionary inequality with Lipschitz-continuous functional and minimally regular input data
- Computational Methods for Option Pricing
- Exact penalty operators and regularization of parabolic variational inequalities with an obstacle inside a domain
- scientific article; zbMATH DE number 3716008 (Why is no real title available?)
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- Nonlinear partial differential equations with applications
- Numerical solution of the obstacle problem by the penalty method. II: Time-dependent problems
- On the approximation of optimal stopping problems with application to financial mathematics
- On the pricing of American options
- On the theory of option pricing
- Penalty methods for one-sided parabolic problems with piecewise smooth obstacles
- Penalty methods for the numerical solution of American multi-asset option problems
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Quadratic convergence for valuing American options using a penalty method
- Variational inequalities and the pricing of American options
Cited in
(15)- Penalty methods for American options with stochastic volatility
- A two-grid penalty method for American options
- Penalty and penalty-like methods for nonlinear HJB PDEs
- An efficient finite element method for pricing American multi-asset put options
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Quadratic convergence for valuing American options using a penalty method
- The effect of nonsmooth payoffs on the penalty approximation of American options
- scientific article; zbMATH DE number 6001326 (Why is no real title available?)
- A power penalty approach to numerical solutions of two-asset American options
- Modified barrier penalization method for pricing American options
- Penalty American options
- Finite difference method for pricing problem of American multi-asset option
- A numerical analysis of variational valuation techniques for derivative securities
- The randomized American option as a classical solution to the penalized problem
- Penalty methods for the numerical solution of American multi-asset option problems
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