Pricing American Stock Options by Linear Programming

DOI10.1111/1467-9965.00069zbMath0980.91032OpenAlexW3123480036MaRDI QIDQ2757302

J. P. Hutton, Michael A. H. Dempster

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00069

zbMATH Keywords

linear programminginterior point methodsimplex methodleast elementslookback optionsparabolic PDE'samerican optionslinear order complementarityPSOR

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Interior-point methods (90C51) Derivative securities (option pricing, hedging, etc.) (91G20)

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CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS ⋮ An approximate moving boundary method for American option pricing ⋮ An explicit finite difference approach to the pricing problems of perpetual Bermudan options ⋮ A generalized complementarity approach to solving real option problems ⋮ Valuation of American options by the gradient projection method ⋮ Pricing European options by numerical replication: quadratic programming with constraints ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS ⋮ Pricing equity options everywhere ⋮ Fast and accurate calculation of American option prices ⋮ AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS ⋮ An irregular grid approach for pricing high-dimensional American options ⋮ On the analytical–numerical valuation of the Bermudan and American options ⋮ Augmented Lagrangian method applied to American option pricing ⋮ Financial valuation of guaranteed minimum withdrawal benefits

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