Convergence analysis of power penalty method for American bond option pricing
DOI10.1007/S10898-012-9843-1zbMATH Open1297.90161OpenAlexW2013030883MaRDI QIDQ2393070FDOQ2393070
Authors: Kai Zhang, Kok Lay Teo 
Publication date: 7 August 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-012-9843-1
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Corporate finance (dividends, real options, etc.) (91G50) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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Cited In (9)
- On convergence of a semi-analytical method for American option pricing
- Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem
- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- Applying a power penalty method to numerically pricing American bond options
- Evaluating American put options on zero-coupon bonds by a penalty method
- Pricing American bond options using a penalty method
- Convergence analysis of a monotonic penalty method for American option pricing
- Convergence property of an interior penalty approach to pricing American option
- On power penalty methods for linear complementarity problems arising from American option pricing
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