On the solution of complementarity problems arising in American options pricing

DOI10.1080/10556788.2010.514341zbMath1229.90230OpenAlexW2094712886MaRDI QIDQ3096882

Vadim Linetsky, José Luis Morales, Nocedal, Jorge, Liming Feng

Publication date: 15 November 2011

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2010.514341

zbMATH Keywords

linear complementarityAmerican options pricingprojected SOR method

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• LAPACK

Cites Work

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• Variational inequalities and the pricing of American options
• An algorithm for the fast solution of symmetric linear complementarity problems
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• The Mathematics of Financial Derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Efficient numerical methods for pricing American options under stochastic volatility