Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation
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DOI: 10.1007/s10957-006-9062-3
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References listed on IDEAS
- Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 237-251, September.
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- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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Cited by:
- Attipoe, David Sena & Tambue, Antoine, 2021. "Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing," Applied Mathematics and Computation, Elsevier, vol. 401(C).
- Zhe Sun & Zhe Liu & Xiaoqi Yang, 2015. "On power penalty methods for linear complementarity problems arising from American option pricing," Journal of Global Optimization, Springer, vol. 63(1), pages 165-180, September.
- Jose Cruz & Daniel Sevcovic, 2020. "On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models," Papers 2003.03851, arXiv.org.
- Kaiwen Meng & Xiaoqi Yang, 2015. "First- and Second-Order Necessary Conditions Via Exact Penalty Functions," Journal of Optimization Theory and Applications, Springer, vol. 165(3), pages 720-752, June.
- Deepak Kumar Yadav & Akanksha Bhardwaj & Alpesh Kumar, 2024. "Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3353-3379, December.
- K. Zhang & K. Teo, 2013. "Convergence analysis of power penalty method for American bond option pricing," Journal of Global Optimization, Springer, vol. 56(4), pages 1313-1323, August.
- Y. Zhou & S. Wang & X. Yang, 2014. "A penalty approximation method for a semilinear parabolic double obstacle problem," Journal of Global Optimization, Springer, vol. 60(3), pages 531-550, November.
- Y. J. Liu & L. W. Zhang, 2008. "Convergence of the Augmented Lagrangian Method for Nonlinear Optimization Problems over Second-Order Cones," Journal of Optimization Theory and Applications, Springer, vol. 139(3), pages 557-575, December.
- Anna Clevenhaus & Matthias Ehrhardt & Michael Günther & Daniel Ševčovič, 2020. "Pricing American Options with a Non-Constant Penalty Parameter," JRFM, MDPI, vol. 13(6), pages 1-7, June.
- Lesmana, Donny Citra & Wang, Song, 2015. "Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 318-330.
- Wen Li & Song Wang, 2014. "A numerical method for pricing European options with proportional transaction costs," Journal of Global Optimization, Springer, vol. 60(1), pages 59-78, September.
- Rui Ding & Chaoren Ding & Quan Shen, 2023. "The interpolating element-free Galerkin method for the p-Laplace double obstacle mixed complementarity problem," Journal of Global Optimization, Springer, vol. 86(3), pages 781-820, July.
- Song-Ping Zhu & Xin-Jiang He & XiaoPing Lu, 2018. "A new integral equation formulation for American put options," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 483-490, March.
- Shuhua Chang & Xinyu Wang, 2015. "Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-35, May.
- W. Li & S. Wang, 2009. "Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 143(2), pages 279-293, November.
- Rock Stephane Koffi & Antoine Tambue, 2022. "A Fitted L-Multi-Point Flux Approximation Method for Pricing Options," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 633-663, August.
- Kai Zhang & Xiaoqi Yang, 2018. "Power Penalty Approach to American Options Pricing Under Regime Switching," Journal of Optimization Theory and Applications, Springer, vol. 179(1), pages 311-331, October.
- Boshi Tian & Yaohua Hu & Xiaoqi Yang, 2015. "A box-constrained differentiable penalty method for nonlinear complementarity problems," Journal of Global Optimization, Springer, vol. 62(4), pages 729-747, August.
- R. S. Burachik & X. Q. Yang & Y. Y. Zhou, 2017. "Existence of Augmented Lagrange Multipliers for Semi-infinite Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 173(2), pages 471-503, May.
- Yuan Li & Hai-Shan Han & Dan-Dan Yang, 2014. "A Penalized-Equation-Based Generalized Newton Method for Solving Absolute-Value Linear Complementarity Problems," Journal of Mathematics, Hindawi, vol. 2014, pages 1-10, September.
- Song Wang, 2015. "A penalty approach to a discretized double obstacle problem with derivative constraints," Journal of Global Optimization, Springer, vol. 62(4), pages 775-790, August.
- K. Zhang, 2012. "Applying a Power Penalty Method to Numerically Pricing American Bond Options," Journal of Optimization Theory and Applications, Springer, vol. 154(1), pages 278-291, July.
- Chen, Wen & Wang, Song, 2017. "A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing," Applied Mathematics and Computation, Elsevier, vol. 305(C), pages 174-187.
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Keywords
Power penalty functions; linear complementarity problems; partial differential equations; American options;All these keywords.
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