Power penalty method for solving HJB equations arising from finance

10.1016/j.automatica.2019.108668 ◽

2020 ◽

Vol 111 ◽

pp. 108668

Author(s):

Kai Zhang ◽

Xiaoqi Yang ◽

Yaohua Hu

Keyword(s):

Penalty Method ◽

Power Penalty ◽

Hjb Equations ◽

Power Penalty Method

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A power penalty method for discrete HJB equations

Optimization Letters ◽

10.1007/s11590-019-01517-7 ◽

2020 ◽

Vol 14 (6) ◽

pp. 1419-1433

Author(s):

Kai Zhang ◽

Xiaoqi Yang

Keyword(s):

Penalty Method ◽

Power Penalty ◽

Hjb Equations ◽

Power Penalty Method

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Using Power Penalty Method in a Simple Decomposition Algorithm for the Asymmetric Traffic Assignment Problem

ICTE 2013 ◽

10.1061/9780784413159.037 ◽

2013 ◽

Author(s):

Ming Chen ◽

Chongchao Huang

Keyword(s):

Assignment Problem ◽

Penalty Method ◽

Traffic Assignment ◽

Decomposition Algorithm ◽

Power Penalty ◽

Traffic Assignment Problem ◽

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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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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Applying a Power Penalty Method to Numerically Pricing American Bond Options

Journal of Optimization Theory and Applications ◽

10.1007/s10957-012-0004-y ◽

2012 ◽

Vol 154 (1) ◽

pp. 278-291

Author(s):

K. Zhang

Keyword(s):

Penalty Method ◽

Power Penalty ◽

Bond Options ◽

Power Penalty Method

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A power penalty method for the general traffic assignment problem with elastic demand

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2014.10.1019 ◽

2014 ◽

Vol 10 (4) ◽

pp. 1019-1030 ◽

Author(s):

Ming Chen ◽

◽

Chongchao Huang

Keyword(s):

Assignment Problem ◽

Penalty Method ◽

Traffic Assignment ◽

Elastic Demand ◽

Power Penalty ◽

Traffic Assignment Problem ◽

Power Penalty Method

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A power penalty method for a class of linearly constrained variational inequality

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2018012 ◽

2018 ◽

Vol 14 (4) ◽

pp. 1381-1396

Author(s):

Ming Chen ◽

◽

Chongchao Huang ◽

Keyword(s):

Variational Inequality ◽

Penalty Method ◽

Power Penalty ◽

Linearly Constrained ◽

Power Penalty Method

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Convergence analysis of power penalty method for American bond option pricing

Journal of Global Optimization ◽

10.1007/s10898-012-9843-1 ◽

2012 ◽

Vol 56 (4) ◽

pp. 1313-1323 ◽

Author(s):

K. Zhang ◽

K. L. Teo

Keyword(s):

Option Pricing ◽

Convergence Analysis ◽

Penalty Method ◽

Power Penalty ◽

Bond Option ◽

Power Penalty Method

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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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