A power penalty approach to American option pricing with jump diffusion processes

DOI10.3934/jimo.2008.4.783zbMath1157.91378OpenAlexW2319795127MaRDI QIDQ1008786

Kai Zhang, Kok Lay Teo, Xiao Qi Yang

Publication date: 30 March 2009

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2008.4.783

zbMATH Keywords

finite element methodAmerican option pricingpenalty method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

A power penalty method for the general traffic assignment problem with elastic demand ⋮ Power penalty method for solving HJB equations arising from finance ⋮ Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem

This page was built for publication: A power penalty approach to American option pricing with jump diffusion processes