Applying a power penalty method to numerically pricing American bond options

DOI10.1007/s10957-012-0004-yzbMath1252.90083MaRDI QIDQ1762398

Xianqiang Yang

Publication date: 26 November 2012

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0004-y

zbMATH Keywords

Penalty method; Finite volume method; Option pricing; Variational inequality problem

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)