Numerical performance of penalty method for American option pricing

DOI10.1080/10556780903051930zbMath1197.91189OpenAlexW1984152776WikidataQ59416183 ScholiaQ59416183MaRDI QIDQ3161139

Kai Zhang, Songgui Wang, Xiao Qi Yang, Kok Lay Teo

Publication date: 12 October 2010

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

Full work available at URL: http://hdl.handle.net/20.500.11937/17748

zbMATH Keywords

finite volume methodoption pricingpenalty methodcomplementarity problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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