An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver

DOI10.1137/080737277zbMath1210.35288WikidataQ115155181 ScholiaQ115155181MaRDI QIDQ3083228

Moulay Hicham Tber, Michael Hintermüller

Publication date: 21 March 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://unipub.uni-graz.at/doi/doi:10.1137/080737277

zbMATH Keywords

inverse problem; optimality conditions; American options; parabolic free boundary problem; MPECs; active-set-Newton solver

Mathematics Subject Classification ID

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)

35R30: Inverse problems for PDEs

35R60: PDEs with randomness, stochastic partial differential equations

35R35: Free boundary problems for PDEs

91G10: Portfolio theory

65K15: Numerical methods for variational inequalities and related problems

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