Semismooth Newton methods with domain decomposition for American options

DOI10.1016/j.cam.2017.12.046zbMath1461.91362OpenAlexW2793304423MaRDI QIDQ1747290

Hong-Jie Zhao, Haijian Yang

Publication date: 4 May 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.12.046

zbMATH Keywords

domain decompositionparallel computingadditive Schwarz preconditionersemismooth Newton methodAmerican put option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Related Items (7)

Path-dependent game options with Asian features ⋮ A new approach for pricing discounted American options ⋮ A recursive parameter estimation algorithm for modeling signals with multi-frequencies ⋮ Perpetual game options with a multiplied penalty ⋮ Parallel reservoir simulators for fully implicit complementarity formulation of multicomponent compressible flows ⋮ A dual based semismooth Newton-type algorithm for solving large-scale sparse Tikhonov regularization problems ⋮ A numerical method based on the complementarity and optimal control formulations for solving a family of zero-sum pursuit-evasion differential games

Uses Software

• PETSc

Cites Work

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