An efficient and provable sequential quadratic programming method for American and swing option pricing

A sequential quadratic programming numerical method is proposed for American option pricing based on the variational inequality formulation. The variational inequality is discretized using the θ-method in time and the finite element method in space. The resulting system of algebraic inequalities at...

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Bibliographic Details

Published in:	European journal of operational research Vol. 316; no. 1; pp. 19 - 35
Main Authors:	Shen, Jinye, Huang, Weizhang, Ma, Jingtang
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.07.2024
Subjects:	American option Heston model Jump diffusion Quadratic programming Swing option American option Quadratic programming Heston model Jump diffusion Swing option
ISSN:	0377-2217
Online Access:	Get full text
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