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Optimization Methods and Software Volume 25, 2010 - Issue 5: The 2nd International Conference on Nonlinear Programming with Applications
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The 2nd International Conference on Nonlinear Programming with Applications

Numerical performance of penalty method for American option pricing

K. Zhang Department of Finance, Business School, Shenzhen University, Nanshan District, Shenzhen, 518060, People's Republic of ChinaCorrespondence[email protected]
,
X. Q. Yang Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, People's Republic of China
,
S. Wang School of Mathematics and Statistics, The University of Western Australia, Perth, 6009, Australia
&
K. L. Teo Department of Mathematics and Statistics, The Curtin University of Technology, Perth, Australia
Pages 737-752 | Received 01 Aug 2008, Accepted 19 May 2009, Published online: 17 Aug 2009

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Boshi Tian, Donghui Li & Xiaoqi Yang. (2016) An unconstrained differentiable penalty method for implicit complementarity problems. Optimization Methods and Software 31:4, pages 775-790.
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Articles from other publishers (11)

Tihomir B. Gyulov & Miglena N. Koleva. (2022) Penalty method for indifference pricing of American option in a liquidity switching market. Applied Numerical Mathematics 172, pages 525-545.
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Kai Zhang, Xiaoqi Yang & Song Wang. (2022) Solution method for discrete double obstacle problems based on a power penalty approach. Journal of Industrial & Management Optimization 18:2, pages 1261.
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Kok Lay Teo, Bin Li, Changjun Yu & Volker RehbockKok Lay Teo, Bin Li, Changjun Yu & Volker Rehbock. 2021. Applied and Computational Optimal Control. Applied and Computational Optimal Control 173 216 .
Kok Lay Teo, Bin Li, Changjun Yu & Volker RehbockKok Lay Teo, Bin Li, Changjun Yu & Volker Rehbock. 2021. Applied and Computational Optimal Control. Applied and Computational Optimal Control 1 20 .
Kai Zhang & Xiaoqi Yang. (2020) A power penalty method for discrete HJB equations. Optimization Letters 14:6, pages 1419-1433.
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Kai Zhang, Xiaoqi Yang & Yaohua Hu. (2020) Power penalty method for solving HJB equations arising from finance. Automatica 111, pages 108668.
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Wen Chen & Song Wang. (2017) A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. Applied Mathematics and Computation 305, pages 174-187.
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Sie Long Kek, Jiao Li & Kok Lay Teo. (2017) Least Squares Solution for Discrete Time Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences. Applied Mathematics 08:01, pages 1-14.
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Zhe Sun, Zhe Liu & Xiaoqi Yang. (2015) On power penalty methods for linear complementarity problems arising from American option pricing. Journal of Global Optimization 63:1, pages 165-180.
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Y. Huang, P.A. Forsyth & G. Labahn. (2013) Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion. Applied Numerical Mathematics 72, pages 33-51.
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Yong Gang Li, Wei Hua Gui, Kok Lay Teo, Hong Qiu Zhu & Qin Qin Chai. (2012) Optimal control for zinc solution purification based on interacting CSTR models. Journal of Process Control 22:10, pages 1878-1889.
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