American options in an illiquid market: nonlinear complementary method

DOI10.1007/978-3-319-57099-0_56MaRDI QIDQ5274994zbMATH OpenOpenAlexFDO

Authors W. Mudzimbabwe, Lubin G. Vulkov

Publication date 7 July 2017

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-57099-0_56

zbMATH Keywords

American optionsB-derivativefinite differencesliquiditynonlinear complementary problemnonsmooth equationsregime switchingsemismooth Newton methodtheta method

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Numerical mathematical programming methods (65K05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A B-differentiable equation-based, globally and locally quadratically convergent algorithm for nonlinear programs, complementarity and variational inequality problems
• A monotone semismooth Newton type method for a class of complementarity problems
• A semismooth equation approach to the solution of nonlinear complementarity problems
• A theoretical and numerical comparison of some semismooth algorithms for complementarity problems
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• scientific article; zbMATH DE number 5497555 (Why is no real title available?)
• Newton's Method for B-Differentiable Equations
• Optimal control with partial information for stochastic Volterra equations
• The Mathematics of Financial Derivatives
• Tools for computational finance.

Cited in

(4)

• Penalty method for indifference pricing of American option in a liquidity switching market
• On the solution of complementarity problems arising in American options pricing
• Numerical valuation of American options with liquidity shocks using IMEX methods
• An extrapolated implicit-explicit backward difference scheme for utility indifference pricing of European and American options in liquidity-switching markets

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