On power penalty methods for linear complementarity problems arising from American option pricing
type: Item
instance of: scholarly article
title: On power penalty methods for linear complementarity problems arising from American option pricing
zbMATH Open document ID: 1321.91115
author: Zhe Sun
author: Zhe Liu
author: Xiao Qi Yang
published in: Journal of Global Optimization
publication date: 2015-09-22T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 90C33
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 90C53
Mathematics Subject Classification ID: 65H10
Mathematics Subject Classification ID: 65N55
zbMATH DE Number: 6484161
zbMATH Keywords: American option pricing
zbMATH Keywords: linear complementarity problem
zbMATH Keywords: penalized equations
zbMATH Keywords: iterative method
zbMATH Keywords: monotone convergence
MaRDI profile type: Publication
full work available at URL: s10898-015-0291-6
OpenAlex ID: W1972211416
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DOI: 10.1007/S10898-015-0291-6
description: scientific article; zbMATH DE number 6484161