Power penalty approach to American options pricing under regime switching

DOI10.1007/s10957-018-1299-0zbMath1412.91239OpenAlexW2803391148WikidataQ129803808 ScholiaQ129803808MaRDI QIDQ1730815

Kai Zhang, Xiao Qi Yang

Publication date: 6 March 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-018-1299-0

zbMATH Keywords

convergence analysisAmerican option pricingregime switchingpower penalty methoddifferential complementarity problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Degenerate parabolic equations (35K65) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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