A two-grid penalty method for American options
From MaRDI portal
(Redirected from Publication:1993545)
Recommendations
- A power penalty approach to numerical solutions of two-asset American options
- Penalty methods for American options with stochastic volatility
- A penalty method for American options with jump diffusion processes
- Penalty methods for the numerical solution of American multi-asset option problems
- A penalty method for American multi-asset option problems
- Numerical performance of penalty method for American option pricing
- scientific article; zbMATH DE number 6136940
- A finite difference method for American option of two risky assets
- An irregular grid approach for pricing high-dimensional American options
- Quadratic convergence for valuing American options using a penalty method
Cites work
- scientific article; zbMATH DE number 1565421 (Why is no real title available?)
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- American option pricing problem transformed on finite interval
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Convergence property of an interior penalty approach to pricing American option
- Iterative penalty finite element methods for the steady incompressible magnetohydrodynamic problem
- Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
- Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
- On mesh independence and Newton-type methods
- Penalty methods for the numerical solution of American multi-asset option problems
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Quadratic convergence for valuing American options using a penalty method
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- The effect of nonsmooth payoffs on the penalty approximation of American options
- Two-Grid Discretization Techniques for Linear and Nonlinear PDE<scp>s</scp>
- Two-grid algorithms for an ordinary second order equation with an exponential boundary layer in the solution
- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
- Variational inequalities and the pricing 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
This page was built for publication: A two-grid penalty method for American options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1993545)
