Valuation of American Options by the Gradient Projection Method
Document Type
Article
Publication Date
12-1-2008
Keywords
American options, variational inequalities, gradient projection
Digital Object Identifier (DOI)
https://doi.org/10.1016/j.amc.2008.09.024
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.
Was this content written or created while at USF?
Yes
Citation / Publisher Attribution
Applied Mathematics and Computation, v. 206, issue 1, p. 380-388
Scholar Commons Citation
Kwon, Changhyun and Friesz, Terry L., "Valuation of American Options by the Gradient Projection Method" (2008). Industrial and Management Systems Engineering Faculty Publications. 18.
https://digitalcommons.usf.edu/egs_facpub/18
