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

Journal of Optimization Theory and Applications ◽

10.1007/s10957-006-9062-3 ◽

2006 ◽

Vol 129 (2) ◽

pp. 227-254 ◽

Author(s):

S. Wang ◽

X. Q. Yang ◽

K. L. Teo

Keyword(s):

Linear Complementarity Problem ◽

Complementarity Problem ◽

Penalty Method ◽

Linear Complementarity ◽

American Option ◽

Option Valuation ◽

Power Penalty ◽

Power Penalty Method

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A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing

Applied Mathematics and Computation ◽

10.1016/j.amc.2017.01.069 ◽

2017 ◽

Vol 305 ◽

pp. 174-187 ◽

Author(s):

Wen Chen ◽

Song Wang

Keyword(s):

Option Pricing ◽

Linear Complementarity Problem ◽

Complementarity Problem ◽

Penalty Method ◽

Linear Complementarity ◽

American Option ◽

American Option Pricing ◽

Power Penalty ◽

Partial Differential ◽

Power Penalty Method

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A Power Penalty Approach to a Horizontal Linear Complementarity Problem

Research Journal of Applied Sciences Engineering and Technology ◽

10.19026/rjaset.5.4945 ◽

2013 ◽

Vol 5 (5) ◽

pp. 1830-1825

Author(s):

Xizhen Hu ◽

Chongchao Huang ◽

Aihua Luo ◽

Hua Chen

Keyword(s):

Linear Complementarity Problem ◽

Complementarity Problem ◽

Linear Complementarity ◽

Power Penalty ◽

Horizontal Linear Complementarity Problem ◽

Penalty Approach

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An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering

Optimization Letters ◽

10.1007/s11590-016-1050-4 ◽

2016 ◽

Vol 12 (6) ◽

pp. 1161-1178 ◽

Author(s):

Song Wang ◽

Kai Zhang

Keyword(s):

Linear Complementarity Problem ◽

Complementarity Problem ◽

Financial Engineering ◽

Penalty Method ◽

Linear Complementarity ◽

Interior Penalty ◽

Finite Dimensional ◽

Interior Penalty Method

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A fixed point method for the linear complementarity problem arising from american option pricing

Acta Mathematicae Applicatae Sinica English Series ◽

10.1007/s10255-016-0613-6 ◽

2016 ◽

Vol 32 (4) ◽

pp. 921-932 ◽

Author(s):

Xian-Jun Shi ◽

Lei Yang ◽

Zheng-Hai Huang

Keyword(s):

Fixed Point ◽

Option Pricing ◽

Linear Complementarity Problem ◽

Complementarity Problem ◽

Linear Complementarity ◽

American Option ◽

Fixed Point Method ◽

Point Method ◽

American Option Pricing

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A power penalty method for second-order cone linear complementarity problems

Operations Research Letters ◽

10.1016/j.orl.2014.12.012 ◽

2015 ◽

Vol 43 (2) ◽

pp. 137-142 ◽

Author(s):

Zijun Hao ◽

Zhongping Wan ◽

Xiaoni Chi

Keyword(s):

Penalty Method ◽

Complementarity Problems ◽

Linear Complementarity Problems ◽

Linear Complementarity ◽

Second Order ◽

Power Penalty ◽

Second Order Cone ◽

Power Penalty Method

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A power penalty method for a bounded nonlinear complementarity problem

Optimization ◽

10.1080/02331934.2014.967236 ◽

2014 ◽

Vol 64 (11) ◽

pp. 2377-2394 ◽

Author(s):

Song Wang ◽

Xiaoqi Yang

Keyword(s):

Complementarity Problem ◽

Penalty Method ◽

Nonlinear Complementarity Problem ◽

Power Penalty ◽

Nonlinear Complementarity ◽

Power Penalty Method

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A power penalty method for solving a nonlinear parabolic complementarity problem

Nonlinear Analysis ◽

10.1016/j.na.2007.06.014 ◽

2008 ◽

Vol 69 (4) ◽

pp. 1125-1137 ◽

Author(s):

Song Wang ◽

C.-S. Huang

Keyword(s):

Complementarity Problem ◽

Penalty Method ◽

Power Penalty ◽

Nonlinear Parabolic ◽

Power Penalty Method

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A power penalty method for linear complementarity problems

Operations Research Letters ◽

10.1016/j.orl.2007.06.006 ◽

2008 ◽

Vol 36 (2) ◽

pp. 211-214 ◽

Author(s):

Song Wang ◽

Xiaoqi Yang

Keyword(s):

Penalty Method ◽

Complementarity Problems ◽

Linear Complementarity Problems ◽

Linear Complementarity ◽

Power Penalty ◽

Power Penalty Method

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Multisplitting iterative methods with general weighting matrices for solving a symmetric positive linear complementarity problem

Artificial Intelligence and Industrial Application ◽

10.2495/aiia140481 ◽

2015 ◽

Author(s):

B. X. Duan ◽

A. M. Yu

Keyword(s):

Iterative Methods ◽

Linear Complementarity Problem ◽

Complementarity Problem ◽

Linear Complementarity

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Convergence of Interior Point Algorithms for the Monotone Linear Complementarity Problem

Mathematics of Operations Research ◽

10.1287/moor.21.1.1 ◽

1996 ◽

Vol 21 (1) ◽

pp. 1-25 ◽

Author(s):

J. Frédéric Bonnans ◽

Clovis C. Gonzaga

Keyword(s):

Linear Complementarity Problem ◽

Interior Point ◽

Complementarity Problem ◽

Linear Complementarity ◽

Interior Point Algorithms

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