Primal-dual active set method for evaluating American put options on zero-coupon bonds

DOI10.1007/S40314-024-02729-ZMaRDI QIDQ6552647zbMATH OpenFDO

Authors Qi Zhang, Qi Wang, Haiming Song, Yongle Hao

Publication date 10 June 2024

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

Full work available at URL https://doi.org/10.1007/S40314-024-02729-Z

zbMATH Keywords

American bond optionslinear complementarity problemprimal-dual active set methodvariational inequality

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Convergence Estimate for an Approximation of a Parabolic Variational Inequality
• A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
• A theory of the term structure of interest rates
• American bond option pricing in one-factor dynamic term structure models
• An \(L^ 2\)-error estimate for an approximation of the solution of a parabolic variational inequality
• An artificial boundary method for the Hull-White model of American interest rate derivatives
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• Applying a power penalty method to numerically pricing American bond options
• Approximation in the finite element method
• Augmented Lagrangian methods for nonsmooth, convex optimization in Hilbert spaces
• Evaluating American put options on zero-coupon bonds by a penalty method
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• Implementing models in quantitative finance: methods and cases
• Mesh independence and fast local convergence of a primal-dual active-set method for mixed control-state constrained elliptic control problems
• Numerical pricing of American put options on zero-coupon bonds.
• Option pricing: A simplified approach
• Penalty methods for American options with stochastic volatility
• Pricing American bond options using a penalty method
• Pricing American interest rate option on zero-coupon bond numerically
• Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• Primal-dual active set method for pricing American better-of option on two assets
• Primal-Dual Strategy for Constrained Optimal Control Problems

Cited in

(4)

• Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
• Analyzing short-rate models for efficient bond option pricing: a review
• Unconditionally stable numerical pricing of American bond options via the Hull-White model
• American call option pricing under the KoBoL model with Poisson jumps

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