Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs

DOI10.1016/j.amc.2014.11.060zbMath1328.91275WikidataQ59416157 ScholiaQ59416157MaRDI QIDQ903007

Donny Citra Lesmana, Songgui Wang

Publication date: 4 January 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.11.060

zbMATH Keywords

convergence; American option pricing; nonlinear complementarity problem; obstacle problem; penalty method; nonlinear Black-Scholes operator

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

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

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