Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis

People
Research
Publications
Teaching


Numerical Pricing of American Options with Penalty Methods


Masterarbeit Wirtschaftsmathematik


Master's Thesis in Financial Mathematics, Halmstad University, Sweden



Supervision


Description

In this thesis we start from the work of Forsyth & Vetzal and consider ....

Keywords

References:

  1. D.P. Bertsekas, Constrained Optimization and Lagrangian Multiplier Methods, Academic Press, New York, 1982.
  2. A. Borici, H.J. Luthi, Fast solutions of complementarity formulations in American put pricing, J. Comp. Fin. 9 (2005), 63-81.
  3. T.F. Coleman, Y.Li, A. Verma, A Newton method for American option pricing, Technical Report, Cornell Theory Center, 1999.
  4. M.A.H. Dempster, J.P. Hutton, D.G. Richards, LP valuation of exotic American options exploiting structure, J. Comp. Fin. 2 (1998), 61-84.
  5. Y. d'Halluin, P.A. Forsyth, G. Labahn, A penalty method for American options with jump diffusion processes, Numer. Math. 97 (2004), 321-352.
  6. P.A. Forsyth, Y. d'Halluin, G. Labahn, A semi-Lagrangian approach for American Asian options under jump diffusion, SIAM J. Sci. Comput. 27 (2005), 315-345.
  7. P.A. Forsyth, K.R. Vetzal, Quadratic convergence for valuing American options using a penalty method, SIAM J. Sci. Comput. 23 (2002) 2095-2122.
  8. M. Hintermüller, K. Ito, K. Kunisch. The primal-dual active set strategy as a semismooth Newton method, SIAM J. Optim. 13 (2002), 184-186.
  9. Y.C. Hon, A quasi-radial basis functions method for American options pricing, Comput. Math. Appl. 43 (2002), 513-524.
  10. P. Jaillet, D. Lamberton, B. Lapeyre, Variational inequalities and the pricing of American options, Acta Appl. Math. 21 (1990), 263-289.
  11. T. Kärkkäinen, K. Kunisch, and P. Tarvainen. Augmented Lagrangian active set methods for obstacle problems, J. Optim. Theory Appl. 119 (2003), 499-533.
  12. B. F. Nielsen, O. Skavhaug, A. Tveito, Penalty and frontfixing methods for the numerical solution of American option problems, J. Comp. Fin. 5 (2002), 69-97.
  13. J.-S. Pang, J. Huang, Pricing American Options with Transaction Costs by Complementarity Methods, In: Quantitative Analysis in Financial Markets, World Scientific, NJ, 1999.
  14. R. Scholz, Numerical solution of the obstacle problem by a penalty method: Part ii, time dependent problems, Numer. Math. 49 (1986), 255-268.
  15. S. Wang, X.Q. Yang, K.L. Teo, A power penalty method for a linear complementarity problem arising from American option valuation, J. Optim. Theory Appl. 129 (2006), 227-254.
  16. R. Zvan, P.A. Forsyth, and K.R. Vetzal, Penalty methods for American options with stochastic volatility, J. Comput. Appl. Math. 91 (1998), 199-218.


University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

Last modified:   Disclaimer   ehrhardt@math.uni-wuppertal.de