Power penalty method for a linear complementarity problem arising from American option valuation

Journal of Optimization Theory and Applications

Volumn 129, Issue 2, 2006, Pages 227-254

  Wang, S ^a   Yang, X Q ^b   Teo, K L ^c  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^c CURTIN UNIVERSITY   (Australia)

Author keywords

American options; Linear complementarity problems; Partial differential equations; Power penalty functions

Indexed keywords

CONSTRAINED OPTIMIZATION; NONLINEAR EQUATIONS; NUMERICAL METHODS; VARIATIONAL TECHNIQUES;

AMERICAN OPTION VALUATION; AMERICAN OPTIONS; ARBITRARY ORDER; LINEAR COMPLEMENTARITY PROBLEMS; NONLINEAR PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS; PENALTY FUNCTION APPROACH; PENALTY METHODS; POWER PENALTY; POWER PENALTY FUNCTIONS; VARIATIONAL INEQUALITY PROBLEMS;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 33845227043     PISSN: 00223239     EISSN: 15732878     Source Type: Journal    
DOI: 10.1007/s10957-006-9062-3     Document Type: Article

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