On the solution of complementarity problems arising in American options pricing
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 2065148
- A fixed point method for the linear complementarity problem arising from American option pricing
- scientific article; zbMATH DE number 2110458
- American options in an illiquid market: nonlinear complementary method
- ON THE AMERICAN OPTION PROBLEM
- Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines
- An integral representation and computation for the solution of American options
- Probabilistic solution of the American options
- On the pricing of American options
- The efficient hedging problem for American options
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An algorithm for the fast solution of symmetric linear complementarity problems
- Efficient numerical methods for pricing American options under stochastic volatility
- scientific article; zbMATH DE number 1953446 (Why is no real title available?)
- scientific article; zbMATH DE number 964349 (Why is no real title available?)
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- The Mathematics of Financial Derivatives
- Variational inequalities and the pricing of American options
Cited in
(29)- On multigrid for linear complementarity problems with application to American-style options
- A descent algorithm for generalized complementarity problems based on generalized Fischer-Burmeister functions
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Investment flexibility as a barrier to entry
- A new operator splitting method for American options under fractional Black-Scholes models
- An efficient numerical method for the valuation of American multi-asset options
- Error bounds for linear complementarity problems of \(S\)-QN matrices
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- A globally convergent primal-dual active-set framework for large-scale convex quadratic optimization
- Augmented Lagrangian method applied to American option pricing
- An iterative two-step algorithm for American option pricing
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- A solver for nonconvex bound-constrained quadratic optimization
- scientific article; zbMATH DE number 2065148 (Why is no real title available?)
- A Note on Market Completeness with American Put Options
- scientific article; zbMATH DE number 2110458 (Why is no real title available?)
- On the use of policy iteration as an easy way of pricing American options
- Primal-dual active-set methods for large-scale optimization
- A fixed point method for the linear complementarity problem arising from American option pricing
- Computing American option price under regime switching with rationality parameter
- American options in an illiquid market: nonlinear complementary method
- ON THE AMERICAN OPTION PROBLEM
- On American Derivatives and Related Obstacle Problems
- Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Pricing American options with uncertain volatility through stochastic linear complementarity models
This page was built for publication: On the solution of complementarity problems arising in American options pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3096882)
