An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
From MaRDI portal
Publication:2295323
DOI10.1016/j.apm.2017.07.038zbMath1480.90242OpenAlexW2741966427MaRDI QIDQ2295323
Publication date: 12 February 2020
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/66879
variational inequalityoption pricingnonlinear complementarity problemdouble obstacle probleminterior penalty method
Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Interior-point methods (90C51)
Related Items
Numerical solution of an obstacle problem with interval coefficients, On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem, Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method, An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints, Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization, On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models, A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables, A power penalty approach to a mixed quasilinear elliptic complementarity problem, Penalty method for indifference pricing of American option in a liquidity switching market, A new semismooth Newton method for solving finite-dimensional quasi-variational inequalities
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
- Pricing American bond options using a penalty method
- A penalty approximation method for a semilinear parabolic double obstacle problem
- A penalty approach to a discretized double obstacle problem with derivative constraints
- Convergence property of an interior penalty approach to pricing American option
- A penalty method for a mixed nonlinear complementarity problem
- A numerical method for pricing European options with proportional transaction costs
- A penalty method for a finite-dimensional obstacle problem with derivative constraints
- A double obstacle problem arising in differential game theory
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- A power penalty method for linear complementarity problems
- Computation of reservation prices of options with proportional transaction costs
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- An NE/SQP method for the bounded nonlinear complementarity problem
- Global optimization techniques for mixed complementarity problems
- Smoothing Newton and quasi-Newton methods for mixed complementarity problems
- On stationary points of the implicit Lagrangian for nonlinear complementarity problems
- Interior-point methods for nonlinear complementarity problems
- A power penalty approach to a nonlinear complementarity problem
- Power penalty method for a linear complementarity problem arising from American option valuation
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
- A power penalty method for a bounded nonlinear complementarity problem
- Some mathematical results in the pricing of American options
- Engineering and Economic Applications of Complementarity Problems
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Interior Methods for Nonlinear Optimization
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- A Class of Active-Set Newton Methods for Mixed ComplementarityProblems
