A power penalty approach to american option pricing with jump diffusion processes | Zendy

Kai Zhang | Zendy; Xiaoqi Yang | Zendy; Kok Lay Teo | Zendy

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A 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

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