Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
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American option valuationHamilton-Jacobi-Bellman equationspenalty methodsupwind finite difference method
Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)
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