Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007)
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scientific article; zbMATH DE number 6526108
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs |
scientific article; zbMATH DE number 6526108 |
Statements
Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (English)
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4 January 2016
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American option pricing
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nonlinear Black-Scholes operator
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obstacle problem
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nonlinear complementarity problem
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penalty method
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convergence
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