Open AccessA power penalty approach to american option pricing with jump diffusion processes
Author(s) -
Kai Zhang,
Xiaoqi Yang,
Kok Lay Teo
Publication year - 2008
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2008.4.783
Subject(s) - jump diffusion , penalty method , discretization , variational inequality , linear complementarity problem , mathematical optimization , complementarity theory , valuation of options , jump , computer science , mathematics , complementarity (molecular biology) , partial differential equation , convergence (economics) , finite element method , mathematical finance , mathematical economics , econometrics , economics , financial economics , mathematical analysis , physics , quantum mechanics , nonlinear system , biology , genetics , economic growth , thermodynamics