Convergence analysis of a monotonic penalty method for American option pricing
From MaRDI portal
Publication:950483
DOI10.1016/j.jmaa.2008.07.072zbMath1154.91029OpenAlexW2073493631MaRDI QIDQ950483
Kai Zhang, Xiao Qi Yang, Kok Lay Teo
Publication date: 22 October 2008
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/45039
Variational inequalities (49J40) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Programming in abstract spaces (90C48) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Pricing American bond options using a penalty method, Power penalty approach to American options pricing under regime switching, A penalty approximation method for a semilinear parabolic double obstacle problem, Augmented Lagrangian method applied to American option pricing, Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion, A continuous-time model for valuing foreign exchange options, Unnamed Item
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Penalty methods for American options with stochastic volatility
- Some results about duality and exact penalization
- Finite element method for hemivariational inequalities. Theory, methods and applications
- Power penalty method for a linear complementarity problem arising from American option valuation
- Augmented Lagrangian method applied to American option pricing
- Quadratic Convergence for Valuing American Options Using a Penalty Method
- Some mathematical results in the pricing of American options
- Decreasing Functions with Applications to Penalization
- Option pricing: A simplified approach
