Convergence analysis of power penalty method for American bond option pricing

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Convergence analysis of power penalty method for American bond option pricing

This paper is concerned with the convergence analysis of power penalty method to pricing American options on discount bond, where the single factor Cox–Ingrosll–Ross model is adopted for the short interest rate. The valuation of American bond option is usually formulated as a partial differential co...

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Bibliographic Details
Main Authors:	Zhang, K., Teo, Kok Lay
Format:	Journal Article
Published:	Springer 2013
Subjects:	complementarity problem option pricing penalty method variational inequalities
Online Access:	http://hdl.handle.net/20.500.11937/8052

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