Modified Barrier Penalization Method for Pricing American Options

DOI10.1007/978-3-319-61282-9_11zbMath1420.91514OpenAlexW2755970944MaRDI QIDQ4626502

Miglena N. Koleva, Radoslav L. Valkov

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_11

zbMATH Keywords

American optionsnumerical approximationnonlinear parabolic PDEbarrier penalization method

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)

Related Items (1)

Penalty method for indifference pricing of American option in a liquidity switching market

Cites Work

• Convergence property of an interior penalty approach to pricing American option
• Variational inequalities and the pricing of American options
• Modified barrier functions (theory and methods)
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• Parabolic variational inequalities: the Lagrange multiplier approach
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• American option pricing problem transformed on finite interval

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