Pricing American bond options using a penalty method

DOI10.1016/j.automatica.2012.01.009zbMath1244.49060OpenAlexW2043375786WikidataQ59416172 ScholiaQ59416172MaRDI QIDQ445080

Kai Zhang, Songgui Wang

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

zbMATH Keywords

computational methodscomplementarity problemsfinancebond option pricing

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Portfolio theory (91G10)

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Cites Work

• Convergence analysis of a monotonic penalty method for American option pricing
• A computational scheme for uncertain volatility model in option pricing
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Numerical pricing of American put options on zero-coupon bonds.
• Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
• A semilinear Black and Scholes partial differential equation for valuing American options
• Power penalty method for a linear complementarity problem arising from American option valuation
• Implementing models in quantitative finance: methods and cases
• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• A Theory of the Term Structure of Interest Rates
• A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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