Valuation of American options by the gradient projection method

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Valuation of American options by the gradient projection method

We study an equivalent optimization problem with an inequality constraint and boundary conditions, whose necessary condition for the 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...

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ژورنال

عنوان ژورنال: Applied Mathematics and Computation

سال: 2008

ISSN: 0096-3003

DOI: 10.1016/j.amc.2008.09.024