An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
From MaRDI portal
Publication:1670525
DOI10.1007/s11590-016-1050-4zbMath1401.90242OpenAlexW2418839529MaRDI QIDQ1670525
Publication date: 5 September 2018
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/69495
variational inequalitystochastic optimal controlAmerican option pricinglinear complementarity problemHJB equationinterior penalty method
Linear programming (90C05) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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