Applying a power penalty method to numerically pricing American bond options

DOI10.1007/s10957-012-0004-yzbMath1252.90083OpenAlexW2074082632MaRDI QIDQ1762398

Xianqiang Yang

Publication date: 26 November 2012

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

Full work available at URL: https://doi.org/10.1007/s10957-012-0004-y

zbMATH Keywords

Penalty methodFinite volume methodOption pricingVariational inequality problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

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• Pricing American bond options using a penalty method
• A power penalty method for linear complementarity problems
• Numerical pricing of American put options on zero-coupon bonds.
• Lagrange-type functions in constrained non-convex optimization.
• A power penalty approach to a nonlinear complementarity problem
• Power penalty method for a linear complementarity problem arising from American option valuation
• A Theory of the Term Structure of Interest Rates
• A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• Finite-Dimensional Variational Inequalities and Complementarity Problems

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