Convergence property of an interior penalty approach to pricing American option

DOI10.3934/JIMO.2011.7.435MaRDI QIDQ549902zbMATHOpenAlexWikidataFDO

Authors Kai Zhang, Song Wang

Publication date 19 July 2011

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2011.7.435

zbMATH Keywords

option pricingpenalty methodvariational inequalitiescomplementarity problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cited in

(18)

• A finite difference method for pricing European and American options under a geometric Lévy process
• Modified barrier penalization method for pricing American options
• Recent advances in numerical solution of HJB equations arising in option pricing
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
• A penalty-based method from reconstructing smooth local volatility surface from American options
• Stochastic approximation methods for American type options
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• Penalty method for indifference pricing of American option in a liquidity switching market
• Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
• Numerical solution of an obstacle problem with interval coefficients
• The interpolating element-free Galerkin method for the \(p\)-Laplace double obstacle mixed complementarity problem
• A two-grid penalty method for American options
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
• Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem
• A penalty approximation method for a semilinear parabolic double obstacle problem
• Convergence analysis of a monotonic penalty method for American option pricing

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