A two-grid penalty method for American options
DOI10.1007/S40314-017-0457-6zbMATH Open1400.91651OpenAlexW2616136681MaRDI QIDQ1993545FDOQ1993545
R. Valkov, Miglena N. Koleva, T. Chernogorova
Publication date: 5 November 2018
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-017-0457-6
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Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
Cited In (6)
- Penalty method for indifference pricing of American option in a liquidity switching market
- An irregular grid approach for pricing high-dimensional American options
- Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
- On some generalized American style derivatives
- A deep learning method for pricing high-dimensional American-style options via state-space partition
- On multigrid for linear complementarity problems with application to American-style options
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