Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/33934
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dc.contributor.authorZhou, HJen_US
dc.contributor.authorYiu, KFCen_US
dc.contributor.authorLi, LKen_US
dc.date.accessioned2015-06-23T09:08:54Z-
dc.date.available2015-06-23T09:08:54Z-
dc.date.issued2011-
dc.identifier.citationJournal of computational and applied mathematics, 2011, v. 235, no. 13, p. 3921-3931en_US
dc.identifier.issn0377-0427-
dc.identifier.urihttp://hdl.handle.net/10397/33934-
dc.description.abstractIn this paper, American put options on zero-coupon bonds are priced under a single factor model of short-term rate. The linear complementarity problem of the option value is solved numerically by a penalty method, by which the problem is transformed into a nonlinear PDE by adding a power penalty term. The solution of the penalized problem converges to that of the original problem. A numerical scheme is established by using the finite volume method and the corresponding stability and convergence are discussed. Numerical results are presented to show the usefulness of the method.en_US
dc.description.sponsorshipDepartment of Applied Mathematicsen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of computational and applied mathematicsen_US
dc.subjectAmerican put optionen_US
dc.subjectFinite volume methoden_US
dc.subjectLinear complementarity problemen_US
dc.subjectPower penalty methoden_US
dc.subjectZero-coupon bonden_US
dc.titleEvaluating American put options on zero-coupon bonds by a penalty methoden_US
dc.typeConference Paperen_US
dc.identifier.spage3921-
dc.identifier.epage3931-
dc.identifier.volume235-
dc.identifier.issue13-
dc.identifier.doi10.1016/j.cam.2011.01.038-
dc.identifier.isiWOS:000291285500025-
dc.identifier.scopus2-s2.0-79955566447-
dc.identifier.eissn1879-1778-
dc.identifier.rosgroupidr55531-
dc.description.ros2010-2011 > Academic research: refereed > Publication in refereed journal-
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