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A power penalty approach to american option pricing with jump diffusion processes
1. | Department of Finance, Business School, Shenzhen University, Nanhai Ave 3688, Shenzhen, Guangdong 518060, China |
2. | Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong |
3. | Department of Mathematics and Statistics, Curtin University, G.P.O. Box U1987, Perth, WA 6845 |
[1] |
Kai Zhang, Song Wang. Convergence property of an interior penalty approach to pricing American option. Journal of Industrial and Management Optimization, 2011, 7 (2) : 435-447. doi: 10.3934/jimo.2011.7.435 |
[2] |
Lunji Song, Wenya Qi, Kaifang Liu, Qingxian Gu. A new over-penalized weak galerkin finite element method. Part Ⅱ: Elliptic interface problems. Discrete and Continuous Dynamical Systems - B, 2021, 26 (5) : 2581-2598. doi: 10.3934/dcdsb.2020196 |
[3] |
Wen Chen, Song Wang. A finite difference method for pricing European and American options under a geometric Lévy process. Journal of Industrial and Management Optimization, 2015, 11 (1) : 241-264. doi: 10.3934/jimo.2015.11.241 |
[4] |
Mikhail Dokuchaev, Guanglu Zhou, Song Wang. A modification of Galerkin's method for option pricing. Journal of Industrial and Management Optimization, 2022, 18 (4) : 2483-2504. doi: 10.3934/jimo.2021077 |
[5] |
Nan Li, Song Wang, Shuhua Zhang. Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method. Journal of Industrial and Management Optimization, 2020, 16 (3) : 1349-1368. doi: 10.3934/jimo.2019006 |
[6] |
Wen Li, Song Wang. Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme. Journal of Industrial and Management Optimization, 2013, 9 (2) : 365-389. doi: 10.3934/jimo.2013.9.365 |
[7] |
Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang. On a Markov chain approximation method for option pricing with regime switching. Journal of Industrial and Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529 |
[8] |
Kai Zhang, Kok Lay Teo. A penalty-based method from reconstructing smooth local volatility surface from American options. Journal of Industrial and Management Optimization, 2015, 11 (2) : 631-644. doi: 10.3934/jimo.2015.11.631 |
[9] |
Ying Liu, Yanping Chen, Yunqing Huang, Yang Wang. Two-grid method for semiconductor device problem by mixed finite element method and characteristics finite element method. Electronic Research Archive, 2021, 29 (1) : 1859-1880. doi: 10.3934/era.2020095 |
[10] |
Cornel M. Murea, H. G. E. Hentschel. A finite element method for growth in biological development. Mathematical Biosciences & Engineering, 2007, 4 (2) : 339-353. doi: 10.3934/mbe.2007.4.339 |
[11] |
Martin Burger, José A. Carrillo, Marie-Therese Wolfram. A mixed finite element method for nonlinear diffusion equations. Kinetic and Related Models, 2010, 3 (1) : 59-83. doi: 10.3934/krm.2010.3.59 |
[12] |
Binjie Li, Xiaoping Xie, Shiquan Zhang. New convergence analysis for assumed stress hybrid quadrilateral finite element method. Discrete and Continuous Dynamical Systems - B, 2017, 22 (7) : 2831-2856. doi: 10.3934/dcdsb.2017153 |
[13] |
Kun Wang, Yinnian He, Yueqiang Shang. Fully discrete finite element method for the viscoelastic fluid motion equations. Discrete and Continuous Dynamical Systems - B, 2010, 13 (3) : 665-684. doi: 10.3934/dcdsb.2010.13.665 |
[14] |
Junjiang Lai, Jianguo Huang. A finite element method for vibration analysis of elastic plate-plate structures. Discrete and Continuous Dynamical Systems - B, 2009, 11 (2) : 387-419. doi: 10.3934/dcdsb.2009.11.387 |
[15] |
So-Hsiang Chou. An immersed linear finite element method with interface flux capturing recovery. Discrete and Continuous Dynamical Systems - B, 2012, 17 (7) : 2343-2357. doi: 10.3934/dcdsb.2012.17.2343 |
[16] |
Donald L. Brown, Vasilena Taralova. A multiscale finite element method for Neumann problems in porous microstructures. Discrete and Continuous Dynamical Systems - S, 2016, 9 (5) : 1299-1326. doi: 10.3934/dcdss.2016052 |
[17] |
Xiu Ye, Shangyou Zhang, Peng Zhu. A weak Galerkin finite element method for nonlinear conservation laws. Electronic Research Archive, 2021, 29 (1) : 1897-1923. doi: 10.3934/era.2020097 |
[18] |
Hao Wang, Wei Yang, Yunqing Huang. An adaptive edge finite element method for the Maxwell's equations in metamaterials. Electronic Research Archive, 2020, 28 (2) : 961-976. doi: 10.3934/era.2020051 |
[19] |
Qingping Deng. A nonoverlapping domain decomposition method for nonconforming finite element problems. Communications on Pure and Applied Analysis, 2003, 2 (3) : 297-310. doi: 10.3934/cpaa.2003.2.297 |
[20] |
Runchang Lin. A robust finite element method for singularly perturbed convection-diffusion problems. Conference Publications, 2009, 2009 (Special) : 496-505. doi: 10.3934/proc.2009.2009.496 |
2021 Impact Factor: 1.411
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