Convergence analysis of a monotonic penalty method for American option pricing
DOI10.1016/J.JMAA.2008.07.072zbMATH Open1154.91029OpenAlexW2073493631MaRDI QIDQ950483FDOQ950483
Authors: Kai Zhang, Xiao Qi Yang, Kok Lay Teo 
Publication date: 22 October 2008
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/45039
Recommendations
- Convergence analysis of power penalty method for American bond option pricing
- Quadratic convergence for valuing American options using a penalty method
- Convergence property of an interior penalty approach to pricing American option
- Numerical performance of penalty method for American option pricing
- On power penalty methods for linear complementarity problems arising from American option pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Variational inequalities (49J40) Programming in abstract spaces (90C48)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Quadratic convergence for valuing American options using a penalty method
- Title not available (Why is that?)
- Option pricing: A simplified approach
- Finite element method for hemivariational inequalities. Theory, methods and applications
- Title not available (Why is that?)
- Some mathematical results in the pricing of American options
- Penalty methods for American options with stochastic volatility
- Power penalty method for a linear complementarity problem arising from American option valuation
- Decreasing Functions with Applications to Penalization
- A power penalty approach to numerical solutions of two-asset American options
- Some results about duality and exact penalization
- Augmented Lagrangian method applied to American option pricing
Cited In (16)
- American option pricing problem transformed on finite interval
- The effect of nonsmooth payoffs on the penalty approximation of American options
- On convergence of a semi-analytical method for American option pricing
- Numerical performance of penalty method for American option pricing
- MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
- Power penalty approach to American options pricing under regime switching
- Convergence analysis of power penalty method for American bond option pricing
- A continuous-time model for valuing foreign exchange options
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- Pricing American bond options using a penalty method
- A penalty approximation method for a semilinear parabolic double obstacle problem
- Convergence property of an interior penalty approach to pricing American option
- Pricing American bond options using a cubic spline collocation method
- Quadratic convergence for valuing American options using a penalty method
- On power penalty methods for linear complementarity problems arising from American option pricing
- Augmented Lagrangian method applied to American option pricing
This page was built for publication: Convergence analysis of a monotonic penalty method for American option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q950483)
