On power penalty methods for linear complementarity problems arising from American option pricing
DOI10.1007/s10898-015-0291-6zbMath1321.91115OpenAlexW1972211416MaRDI QIDQ496599
Zhe Liu, Zhe Sun, Xiao Qi Yang
Publication date: 22 September 2015
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-015-0291-6
American option pricinglinear complementarity problemiterative methodmonotone convergencepenalized equations
Numerical methods (including Monte Carlo methods) (91G60) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Numerical computation of solutions to systems of equations (65H10) Methods of quasi-Newton type (90C53) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Cites Work
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