Valuation of American options by the gradient projection method
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Publication:2379062
DOI10.1016/J.AMC.2008.09.024zbMATH Open1154.91457OpenAlexW2099607323MaRDI QIDQ2379062FDOQ2379062
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
Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Variational inequalities (49J40)
Cites Work
- Finite-Dimensional Variational Inequalities and Complementarity Problems
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- Variational inequalities and the pricing of American options
- Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
- Quadratic convergence for valuing American options using a penalty method
- Option pricing: A simplified approach
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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- Pricing American stock options by linear programming
Cited In (1)
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