Valuation of American options by the gradient projection method

DOI10.1016/j.amc.2008.09.024zbMath1154.91457OpenAlexW2099607323MaRDI QIDQ2379062

Changhyun Kwon, Terry L. Friesz

Publication date: 14 January 2009

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.301.1372

zbMATH Keywords

variational inequalitiesAmerican optionsgradient projection

Mathematics Subject Classification ID

Related Items (1)

Pricing American options under Azzalini Ito-McKean skew Brownian motions

Cites Work

• Variational inequalities and the pricing of American options
• Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
• Pricing American Stock Options by Linear Programming
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Option pricing: A simplified approach
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