Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007)
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scientific article; zbMATH DE number 6526108
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| English | Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs |
scientific article; zbMATH DE number 6526108 |
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Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (English)
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4 January 2016
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American option pricing
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nonlinear Black-Scholes operator
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obstacle problem
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nonlinear complementarity problem
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penalty method
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convergence
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0.8414662480354309
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0.83494633436203
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0.8274750113487244
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0.8121663331985474
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0.8035349249839783
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