Valuation of American options by the gradient projection method
نویسندگان
چکیده
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 method.
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ورودعنوان ژورنال:
- Applied Mathematics and Computation
دوره 206 شماره
صفحات -
تاریخ انتشار 2008