Valuation of American options by the gradient projection method

DOI10.1016/J.AMC.2008.09.024zbMATH Open1154.91457OpenAlexW2099607323MaRDI QIDQ2379062FDOQ2379062

Authors Changhyun Kwon, Terry L. Friesz

Publication date 14 January 2009

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.301.1372

zbMATH Keywords

variational inequalitiesAmerican optionsgradient projection

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Variational inequalities (49J40)

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Cites work

• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
• Mathematical programming. Theory and algorithms.
• Option pricing: A simplified approach
• Pricing American options using LU decomposition
• Pricing American stock options by linear programming
• Quadratic convergence for valuing American options using a penalty method
• Variational inequalities and the pricing of American options

Cited in

(3)

• Pricing American options under Azzalini Ito-McKean skew Brownian motions
• Augmented Lagrangian method applied to American option pricing
• Projection and contraction method for the valuation of American options

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