American option pricing problem transformed on finite interval

DOI10.1080/00207160.2014.906587zbMath1344.49003OpenAlexW2027882202MaRDI QIDQ5739583

Tihomir B. Gyulov, Radoslav L. Valkov

Publication date: 19 July 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2014.906587

zbMATH Keywords

American option pricinglinear complementarity problemfitted finite volume methoddegenerate parabolic operatormonotonic penalty method

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Financial applications of other theories (91G80) Existence theories for optimal control problems involving partial differential equations (49J20) Discrete approximations in optimal control (49M25) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Numerical methods for variational inequalities and related problems (65K15)

Related Items (5)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Modified Barrier Penalization Method for Pricing American Options ⋮ A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity ⋮ A two-grid penalty method for American options ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

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