Pricing American bond options using a penalty method
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Publication:445080
DOI10.1016/J.AUTOMATICA.2012.01.009zbMATH Open1244.49060OpenAlexW2043375786WikidataQ59416172 ScholiaQ59416172MaRDI QIDQ445080FDOQ445080
Publication date: 24 August 2012
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2012.01.009
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Portfolio theory (91G10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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Cited In (34)
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- American option pricing problem transformed on finite interval
- A 2nd-order FDM for a 2D fractional Black-Scholes equation
- Applying a power penalty method to numerically pricing American bond options
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- Recent advances in numerical solution of HJB equations arising in option pricing
- Evaluating American put options on zero-coupon bonds by a penalty method
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- A power penalty approach to a discretized obstacle problem with nonlinear constraints
- Semi-implicit FEM for the valuation of American options under the Heston model
- Convergence analysis of power penalty method for American bond option pricing
- An efficient numerical method for the valuation of American multi-asset options
- A continuous-time model for valuing foreign exchange options
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- A direct LU solver for pricing American bond options under Hull-White model
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- A finite difference method for pricing European and American options under a geometric Lévy process
- Pricing American bond options using a cubic spline collocation method
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A numerical method for pricing European options with proportional transaction costs
- Modulus methods for pricing American bond option based on finite difference discretization
- On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
- An efficient computational algorithm for pricing European, barrier and American options
- A modification of Galerkin's method for option pricing
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