Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion

DOI10.1016/j.apnum.2013.02.007zbMath1394.91336OpenAlexW1976472503MaRDI QIDQ465077

George Labahn, Yiqing Huang, Peter A. I. Forsyth

Publication date: 31 October 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.02.007

zbMATH Keywords

American optionsjump diffusioninexact arithmetic

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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Simplified reproducing kernel method for impulsive delay differential equations ⋮ A novel method for nonlinear impulsive differential equations in broken reproducing kernel space ⋮ A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities ⋮ Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization ⋮ A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games ⋮ Weakly Chained Matrices, Policy Iteration, and Impulse Control ⋮ Numerical method and convergence order for second-order impulsive differential equations

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