Power penalty approach to American options pricing under regime switching
type: Item
instance of: scholarly article
title: Power penalty approach to American options pricing under regime switching
zbMATH Open document ID: 1412.91239
author: Kai Zhang
author: Xiao Qi Yang
published in: Journal of Optimization Theory and Applications
publication date: 2019-03-06T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65N12
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35K65
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 49J40
zbMATH DE Number: 7032752
zbMATH Keywords: American option pricing
zbMATH Keywords: regime switching
zbMATH Keywords: differential complementarity problem
zbMATH Keywords: power penalty method
zbMATH Keywords: convergence analysis
MaRDI profile type: Publication
full work available at URL: s10957-018-1299-0
OpenAlex ID: W2803391148
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cites work: Lagrange-type functions in constrained non-convex optimization.
cites work: Power penalty method for a linear complementarity problem arising from American option valuation
cites work: Convergence analysis of a monotonic penalty method for American option pricing
cites work: Q4349551
cites work: Q3321366
cites work: A novel fitted finite volume method for the Black-Scholes equation governing option pricing
cites work: On power penalty methods for linear complementarity problems arising from American option pricing
Wikidata QID: Q129803808
DOI: 10.1007/S10957-018-1299-0
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description: scientific article; zbMATH DE number 7032752