An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
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Publication:1670525
DOI10.1007/S11590-016-1050-4zbMATH Open1401.90242OpenAlexW2418839529MaRDI QIDQ1670525FDOQ1670525
Publication date: 5 September 2018
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/69495
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HJB equationlinear complementarity problemstochastic optimal controlvariational inequalityAmerican option pricinginterior penalty method
Linear programming (90C05) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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Cited In (11)
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- Numerical solution of an obstacle problem with interval coefficients
- Penalty method for indifference pricing of American option in a liquidity switching market
- Pricing European call options with interval-valued volatility and interest rate
- Solving American option optimal control problems in financial markets using a novel neural network
- Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
- Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm
- The Order-p Tensor Linear Complementarity Problem for Images Deblurring
- Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
- A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation
- Simultaneous distributed-boundary optimal control problems driven by nonlinear complementarity systems
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