Evaluating American put options on zero-coupon bonds by a penalty method

DOI10.1016/j.cam.2011.01.038zbMath1214.91137MaRDI QIDQ544230

Hong Jun Zhou, Leong-Kwan Li, Ka-Fai Cedric Yiu

Publication date: 14 June 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.01.038

zbMATH Keywords

finite volume method; linear complementarity problem; American put option; power penalty method; zero-coupon bond

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65M08: Finite volume methods for initial value and initial-boundary value problems involving PDEs

Related Items

Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing

Cites Work

• Variational inequalities and the pricing of American options
• A power penalty method for linear complementarity problems
• Numerical pricing of American put options on zero-coupon bonds.
• Pricing American interest rate option on zero-coupon bond numerically
• Power penalty method for a linear complementarity problem arising from American option valuation
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• The Mathematics of Financial Derivatives