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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

References

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  • Wilmott , P. , Dewynne , J. and Howison , S. 1993 . Option Pricing: Mathematical Models and Computation , Oxford : Oxford Financial Press .
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  • Zhang , K. , Yang , X. Q. and Teo , K. L. 2008 . Power penalty method for American option pricing with jump-diffusion process . J. Ind. Manag. Optim. , 4 ( 4 ) : 983 – 799 .
  • Zhang , K. , Wang , S. , Yang , X. Q. and Teo , K. L. 2009 . A power penalty approach to numerical solution of two-factor American option pricing . Numer. Math. TMA , 2 : 202 – 223 .

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