Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs

DOI10.1016/j.amc.2014.11.060zbMath1328.91275OpenAlexW1973734332WikidataQ59416157 ScholiaQ59416157MaRDI QIDQ903007

Donny Citra Lesmana, Songgui Wang

Publication date: 4 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.11.060

zbMATH Keywords

convergenceAmerican option pricingnonlinear complementarity problemobstacle problempenalty methodnonlinear Black-Scholes operator

Mathematics Subject Classification ID

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

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