Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4633903 | Applied Mathematics and Computation | 2008 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Changhyun Kwon, Terry L. Friesz,