Name
Abstract | ||
|---|---|---|
We study an equivalent optimization problem with an inequality constraint and boundary conditions, whose necessary condition for optimality is the variational inequality presentation of American options. To solve the problem, we use the gradient projection method, with discretizations both in time and space. We tested the algorithm and compared with the projective successive over-relaxation method. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1016/j.amc.2008.09.024 | Applied Mathematics and Computation |
Keywords | Field | DocType |
American options,Variational inequalities,Gradient projection | Gradient method,Boundary value problem,Mathematical optimization,Mathematical analysis,Relaxation (iterative method),Spacetime,Projection method,Numerical analysis,Optimization problem,Mathematics,Variational inequality | Journal |
Volume | Issue | ISSN |
206 | 1 | 0096-3003 |
Citations | PageRank | References |
0 | 0.34 | 3 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Changhyun Kwon | 1 | 87 | 11.52 |
| Terry L. Friesz | 2 | 227 | 42.12 |