Convergence property of an interior penalty approach to pricing American option
DOI10.3934/JIMO.2011.7.435zbMATH Open1219.91146OpenAlexW2324428025WikidataQ59416176 ScholiaQ59416176MaRDI QIDQ549902FDOQ549902
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
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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)
Cited In (18)
- Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- Numerical solution of an obstacle problem with interval coefficients
- Penalty method for indifference pricing of American option in a liquidity switching market
- A penalty-based method from reconstructing smooth local volatility surface from American options
- A two-grid penalty method for American options
- Modified Barrier Penalization Method for Pricing American Options
- The interpolating element-free Galerkin method for the \(p\)-Laplace double obstacle mixed complementarity problem
- Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
- Convergence analysis of a monotonic penalty method for American option pricing
- Stochastic approximation methods for American type options
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- A penalty approximation method for a semilinear parabolic double obstacle problem
- Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm
- A finite difference method for pricing European and American options under a geometric Lévy process
- Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
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