Penalty Method for Indifference Pricing of American Option in a Liquidity Switching Market

2021 ◽  
Author(s):  
Tihomir B. Gyulov ◽  
Miglena N. Koleva
Keyword(s):  
Penalty Method ◽  
American Option ◽  
Indifference Pricing

scholarly journals The Randomized American Option as a Classical Solution to the Penalized Problem

2015 ◽  
Vol 2015 ◽  
pp. 1-5
Author(s):  
Guillaume Leduc
Keyword(s):  
Cauchy Problem ◽  
Brownian Motion ◽  
Classical Solution ◽  
Penalty Method ◽  
Infinitesimal Generator ◽  
American Option ◽  
Geometric Brownian Motion ◽  
Uniform Bound ◽  
Option Value ◽  
The Cauchy Problem

We connect the exercisability randomized American option to the penalty method by showing that the randomized American option valueuis the uniqueclassicalsolution to the Cauchy problem corresponding to thecanonicalpenalty problem for American options. We also establish a uniform bound forAu, whereAis the infinitesimal generator of a geometric Brownian motion.

scholarly journals Numerical performance of penalty method for American option pricing

2010 ◽  
Vol 25 (5) ◽  
pp. 737-752 ◽  
Author(s):  
K. Zhang ◽  
X. Q. Yang ◽  
S. Wang ◽  
K. L. Teo
Keyword(s):  
Option Pricing ◽  
Penalty Method ◽  
American Option ◽  
American Option Pricing ◽  
Numerical Performance

New Bounds on American Option Prices

2007 ◽  
Author(s):  
In Joon Kim ◽  
Geun Hyuk Chang ◽  
Suk-Joon Byun
Keyword(s):  
American Option ◽  
Option Prices
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