Power penalty method for a linear complementarity problem arising from American option valuation
From MaRDI portal
Publication:2370044
Initial-boundary value problems for second-order parabolic equations (35K20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
Recommendations
- On power penalty methods for linear complementarity problems arising from American option pricing
- Numerical performance of penalty method for American option pricing
- A power penalty approach to numerical solutions of two-asset American options
- Power penalty approach to American options pricing under regime switching
- Applying a power penalty method to numerically pricing American bond options
Cites work
- A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
- A nonlinear Lagrangian approach to constrained optimization problems
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems
- An upwind approach for an American and European option pricing model
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Finite element method for hemivariational inequalities. Theory, methods and applications
- scientific article; zbMATH DE number 3852340 (Why is no real title available?)
- scientific article; zbMATH DE number 3751685 (Why is no real title available?)
- scientific article; zbMATH DE number 1243473 (Why is no real title available?)
- scientific article; zbMATH DE number 613872 (Why is no real title available?)
- scientific article; zbMATH DE number 1069620 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- scientific article; zbMATH DE number 3215568 (Why is no real title available?)
- Lagrange-type functions in constrained non-convex optimization.
- Option pricing: A simplified approach
- Penalty methods for American options with stochastic volatility
- Quadratic convergence for valuing American options using a penalty method
- The pricing of options and corporate liabilities
Cited in
(91)- A power penalty approach to American option pricing with jump diffusion processes
- Convergence of the augmented Lagrangian method for nonlinear optimization problems over second-order cones
- A computational scheme for uncertain volatility model in option pricing
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- Modeling and computation of water management by real options
- Power penalty approach to American options pricing under regime switching
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Applying a power penalty method to numerically pricing American bond options
- Accurate numerical method for pricing two-asset American put options
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A fitted finite volume method for real option valuation of risks in climate change
- An accelerated monotonic convergent algorithm for a class of non-Lipschitzian NCP\((F)\) involving an \(M\)-matrix
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- Penalty method for indifference pricing of American option in a liquidity switching market
- Solution method for discrete double obstacle problems based on a power penalty approach
- A modification of Galerkin's method for option pricing
- Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem
- Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm
- Numerical solution of an obstacle problem with interval coefficients
- 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
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
- A power penalty approach to a nonlinear complementarity problem
- Power penalty method for solving HJB equations arising from finance
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- A continuous-time model for valuing foreign exchange options
- A power penalty approach to a discretized obstacle problem with nonlinear constraints
- First- and second-order necessary conditions via exact penalty functions
- Existence of augmented Lagrange multipliers for semi-infinite programming problems
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- Convergence analysis of power penalty method for American bond option pricing
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A power penalty method for the general traffic assignment problem with elastic demand
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- Augmented Lagrangian method applied to American option pricing
- A finite difference method for pricing European and American options under a geometric Lévy process
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
- Solving nonsmooth and discontinuous optimal power flow problems via interior-point \(\ell_p\)-penalty approach
- Modelling and computation of optimal decision for farmers leasing lands
- An unconstrained differentiable penalty method for implicit complementarity problems
- Recent advances in numerical solution of HJB equations arising in option pricing
- Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation
- Numerical performance of penalty method for American option pricing
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- A fixed-point method for a class of super-large scale nonlinear complementarity problems
- A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
- A power penalty method for a bounded nonlinear complementarity problem
- A power penalty approach to numerical solutions of two-asset American options
- Pricing American bond options using a penalty method
- A new integral equation formulation for American put options
- A numerical method to determine the optimal stopping boundary for installment option
- Pricing American bond options using a cubic spline collocation method
- A penalty approximation method for a semilinear parabolic double obstacle problem
- On power penalty methods for linear complementarity problems arising from American option pricing
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A box-constrained differentiable penalty method for nonlinear complementarity problems
- Modelling and computation for the valuation of two-period \textit{R}\&\textit{D} projects by option games
- Numerical solution for a parabolic obstacle problem with nonsmooth initial data
- A fixed point method for the linear complementarity problem arising from American option pricing
- A 2nd-order FDM for a 2D fractional Black-Scholes equation
- Evaluating American put options on zero-coupon bonds by a penalty method
- Convergence property of an interior penalty approach to pricing American option
- American option pricing problem transformed on finite interval
- A penalty method for American multi-asset option problems
- On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- The interpolating element-free Galerkin method for the p-Laplace double obstacle mixed complementarity problem
- A penalty method for a mixed nonlinear complementarity problem
- On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function
- A HODIE finite difference scheme for pricing American options
- Variable time step operator splitting methods with stability and error estimates for pricing American options
- An interior-point derivative-free algorithm for nonlinear complementarity problems
- A reweighted _1-penalty method for nonlinear complementarity problems
- A numerical method for pricing European options with proportional transaction costs
- A penalty method for a finite-dimensional obstacle problem with derivative constraints
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- The randomized American option as a classical solution to the penalized problem
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- A power penalty method for linear complementarity problems
- A power penalty method for solving a nonlinear parabolic complementarity problem
- Pricing options under jump diffusion processes with fitted finite volume method
- Convergence analysis of a monotonic penalty method for American option pricing
- A robust finite difference scheme for pricing American put options with singularity-separating method
- Optimal portfolios with regime switching and value-at-risk constraint
This page was built for publication: Power penalty method for a linear complementarity problem arising from American option valuation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2370044)
