A penalty method for a finite-dimensional obstacle problem with derivative constraints
From MaRDI portal
Publication:742393
DOI10.1007/s11590-013-0651-4zbMath1301.49089OpenAlexW1988341767WikidataQ59416160 ScholiaQ59416160MaRDI QIDQ742393
Publication date: 18 September 2014
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11590-013-0651-4
Variational inequalities (49J40) Numerical methods based on nonlinear programming (49M37) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Discrete approximations in optimal control (49M25)
Related Items
Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme, An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering, Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing, Numerical solution of an obstacle problem with interval coefficients, A numerical scheme for pricing American options with transaction costs under a jump diffusion process, An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints, A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing, A penalty approach to a discretized double obstacle problem with derivative constraints, An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem, An unconstrained differentiable penalty method for implicit complementarity problems, A power penalty approach to a discretized obstacle problem with nonlinear constraints
Cites Work
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
- A penalty method for a mixed nonlinear complementarity problem
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- A power penalty method for linear complementarity problems
- Computation of reservation prices of options with proportional transaction costs
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Global optimization techniques for mixed complementarity problems
- A class of smoothing functions for nonlinear and mixed complementarity problems
- A power penalty approach to a nonlinear complementarity problem
- Power penalty method for a linear complementarity problem arising from American option valuation
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Properties of an Interior-Point Mapping for Mixed Complementarity Problems
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- A Class of Active-Set Newton Methods for Mixed ComplementarityProblems
- Unnamed Item
- Unnamed Item
- Unnamed Item