American Options in an Illiquid Market: Nonlinear Complementary Method

DOI10.1007/978-3-319-57099-0_56zbMath1367.91196OpenAlexW2606159831MaRDI QIDQ5274994

Walter Mudzimbabwe, Lubin G. Vulkov

Publication date: 7 July 2017

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_56

zbMATH Keywords

regime switchingfinite differencesnonsmooth equationsAmerican optionsliquiditysemismooth Newton methodtheta methodB-derivativenonlinear complementary problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

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

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