On power penalty methods for linear complementarity problems arising from American option pricing

DOI10.1007/s10898-015-0291-6zbMath1321.91115OpenAlexW1972211416MaRDI QIDQ496599

Zhe Liu, Zhe Sun, Xiao Qi Yang

Publication date: 22 September 2015

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-015-0291-6

zbMATH Keywords

American option pricinglinear complementarity problemiterative methodmonotone convergencepenalized equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Numerical computation of solutions to systems of equations (65H10) Methods of quasi-Newton type (90C53) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ A power penalty method for discrete HJB equations ⋮ Power penalty approach to American options pricing under regime switching ⋮ Low-order penalty equations for semidefinite linear complementarity problems ⋮ Power penalty method for solving HJB equations arising from finance ⋮ Solution method for discrete double obstacle problems based on a power penalty approach

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