On the solution of complementarity problems arising in American options pricing
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Publication:3096882
DOI10.1080/10556788.2010.514341zbMATH Open1229.90230OpenAlexW2094712886MaRDI QIDQ3096882FDOQ3096882
Authors: Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal 
Publication date: 15 November 2011
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556788.2010.514341
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- ON THE AMERICAN OPTION PROBLEM
- Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines
- An integral representation and computation for the solution of American options
- Probabilistic solution of the American options
- On the pricing of American options
- The efficient hedging problem for American options
Derivative securities (option pricing, hedging, etc.) (91G20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Title not available (Why is that?)
- Variational inequalities and the pricing of American options
- Title not available (Why is that?)
- The Mathematics of Financial Derivatives
- Efficient numerical methods for pricing American options under stochastic volatility
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- An algorithm for the fast solution of symmetric linear complementarity problems
Cited In (29)
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models
- A fixed point method for the linear complementarity problem arising from American option pricing
- An efficient numerical method for the valuation of American multi-asset options
- ON THE AMERICAN OPTION PROBLEM
- A solver for nonconvex bound-constrained quadratic optimization
- An iterative two-step algorithm for American option pricing
- A new operator splitting method for American options under fractional Black-Scholes models
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Error bounds for linear complementarity problems of \(S\)-QN matrices
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- A descent algorithm for generalized complementarity problems based on generalized Fischer-Burmeister functions
- A Note on Market Completeness with American Put Options
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- Title not available (Why is that?)
- American options in an illiquid market: nonlinear complementary method
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Primal-dual active-set methods for large-scale optimization
- A globally convergent primal-dual active-set framework for large-scale convex quadratic optimization
- On the use of policy iteration as an easy way of pricing American options
- Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines
- Augmented Lagrangian method applied to American option pricing
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Investment flexibility as a barrier to entry
- Title not available (Why is that?)
- On American Derivatives and Related Obstacle Problems
- Computing American option price under regime switching with rationality parameter
- On multigrid for linear complementarity problems with application to American-style options
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