Quadratic convergence for valuing American options using a penalty method
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The authors apply penalty methods to the (one dimensional) American option pricing problem. In the discretized version of the equilvalent linear complementarity problem they determine sufficient conditions for monotone convergence of the penalty iteration. Quadratic convergence is obtained by a suitable timestep selector. NEWLINENEWLINENEWLINEThe method is applicable to more complex, multi dimensional versions of the basic problem; the authors' computational experience is that even in cases where the sufficient condition for convergence is not satisfied, the relevant algorithm converges fastly.
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Cited in
(only showing first 100 items - show all)- Duality and penalization in optimization via an augmented Lagrangian function with applications
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- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
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- A high-order finite difference method for option valuation
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- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Pricing American-style Parisian down-and-out call options
- A new method for evaluating options based on multiquadric RBF-FD method
- Semismooth Newton methods with domain decomposition for American options
- A penalty method for American options with jump diffusion processes
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
- Direct computation for American put option and free boundary using finite difference method
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- A two-grid penalty method for American options
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Radial basis function partition of unity methods for pricing vanilla basket options
- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- Penalty method for indifference pricing of American option in a liquidity switching market
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- Penalty and penalty-like methods for nonlinear HJB PDEs
- Optimal decision model and solution for carbon sequestration by afforestation
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
- Deep learning for CVA computations of large portfolios of financial derivatives
- Pairs trading with illiquidity and position limits
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
- Power penalty method for a linear complementarity problem arising from American option valuation
- Valuation of American options by the gradient projection method
- Convergence analysis of power penalty method for American bond option pricing
- Financial options pricing with regime-switching jump-diffusions
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- The impacts of uncertainties in a real options model under incomplete information
- Augmented Lagrangian method applied to American option pricing
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
- Modelling and computation of optimal decision for farmers leasing lands
- Valuing early-exercise interest-rate options with multi-factor affine models
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- The effect of nonsmooth payoffs on the penalty approximation of American options
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
- Rational spectral collocation method for pricing American vanilla and butterfly spread options
- Guaranteed minimum withdrawal benefit in variable annuities
- Optimal redeeming strategy of stock loans with finite maturity
- scientific article; zbMATH DE number 6001326 (Why is no real title available?)
- Numerical performance of penalty method for American option pricing
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- Pseudospectral methods for pricing options
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Valuation of an early exercise defined benefit underpin hybrid pension
- Modified barrier penalization method for pricing American options
- Numerical Study of Splitting Methods for American Option Valuation
- Pricing American bond options using a cubic spline collocation method
- Penalty American options
- Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
- A penalty approximation method for a semilinear parabolic double obstacle problem
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- Optimal stock selling/buying strategy with reference to the ultimate average
- On power penalty methods for linear complementarity problems arising from American option pricing
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
- Fourth-order methods for space fractional reaction-diffusion equations with non-smooth data
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- High-order time stepping scheme for pricing American option under bates model
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
- Executive stock option exercise with full and partial information on a drift change point
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Radial basis functions method for valuing options: a multinomial tree approach
- A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Limitations and improvements of standard spectral methods for pricing standard options
- Finite volume method for pricing European and American options under jump-diffusion models
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- A Green's function-based iterative approach to the pricing of American options
- American option pricing problem transformed on finite interval
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- A compact fourth-order L-stable scheme for reaction-diffusion systems with nonsmooth data
- A penalty method for American multi-asset option problems
- Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
- Penalty method for portfolio selection with capital gains tax
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
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