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Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation

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References

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2006A Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities41 cited
2012Pricing American bond options using a penalty method37 cited
2009Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs37 cited

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2008Pricing options under jump diffusion processes with fitted finite volume method30 cited

2009Optimal convergence rate of the explicit finite difference scheme for American option valuation29 cited

2009A computational scheme for uncertain volatility model in option pricing29 cited

2013Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme27 cited

2014A finite difference method for pricing European and American options under a geometric Lévy process26 cited

2009A Power Penalty Approach to Numerical Solutions of Two-Asset American Options26 cited

2011Convergenceproperty of an interior penalty approach to pricing American option26 cited

2009A Computational Scheme for Options Under Jump Diffusion Processes24 cited

2019Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times23 cited

2009A robust finite difference scheme for pricing American put options with Singularity-Separating method22 cited