A numerical scheme for pricing American options with transaction costs under a jump diffusion process

DOI10.3934/jimo.2017019zbMath1422.91768OpenAlexW2560115165MaRDI QIDQ2411163

Donny Citra Lesmana, Songgui Wang

Publication date: 20 October 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017019

zbMATH Keywords

convergenceAmerican option pricingnonlinear complementarity problempenalty methodupwind finite differencenonlinear partial integro-differential equation

Mathematics Subject Classification ID

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) Numerical methods for variational inequalities and related problems (65K15)

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