Penalty method for indifference pricing of American option in a liquidity switching market
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Publication:2058423
DOI10.1016/j.apnum.2021.11.002zbMath1479.91444OpenAlexW3213469623WikidataQ114749417 ScholiaQ114749417MaRDI QIDQ2058423
Miglena N. Koleva, Tihomir B. Gyulov
Publication date: 9 December 2021
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2021.11.002
convergencecomparison principlefinite differencesnonlinear complementarity problempenalty methodAmerican optionobstacle constraintregime-switching problem
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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