Power penalty method for a linear complementarity problem arising from American option valuation

Keyphrases

• Variational Inequality Problem 100%
• Linear Complementarity Problem 100%
• American Option Pricing 100%
• Power Penalty Method 100%
• Power Penalty 66%
• Arbitrary Order 66%
• Convergence Rate 33%
• Numerical Results 33%
• Penalty Method 33%
• Numerical Scheme 33%
• Solution Accuracy 33%
• Penalty Parameter 33%
• Nonlinear Partial Differential Equations 33%
• Penalty Term 33%
• Nonlinear Parabolic Partial Differential Equation 33%
• Order Convergence 33%
• Penalized Equations 33%
• Pricing American Option 33%

Mathematics

• Complementarity Problem 100%
• Variational Inequality Problem 100%
• American Option 100%
• Penalty Method 100%
• Parabolic 33%
• PDE 33%
• Numerical Scheme 33%
• Convergence Rate 33%
• Nonlinear Partial Differential Equation 33%