Primal-Dual Active Set Method for American Lookback Put Option Pricing

[1]  Kok Lay Teo,et al.  Augmented Lagrangian method applied to American option pricing , 2006, Autom..

[2]  B. He A class of projection and contraction methods for monotone variational inequalities , 1997 .

[3]  Yudong Sun,et al.  An integro-differential parabolic variational inequality arising from the valuation of double barrier American option , 2014, J. Syst. Sci. Complex..

[4]  Haiming Song,et al.  Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options , 2017 .

[5]  Ken Seng Tan,et al.  Pricing Options Using Lattice Rules , 2005 .

[6]  Zhu,et al.  FINITE DIFFERENCE APPROXIMATION FOR PRICING THE AMERICAN LOOKBACK OPTION , 2009 .

[7]  Min Dai,et al.  Convergence of Binomial Tree Method for European/American Path-Dependent Options , 2004, SIAM J. Numer. Anal..

[8]  J. Pang,et al.  Option Pricing and Linear Complementarity , 1998 .

[9]  S. H. Babbs Binomial valuation of lookback options , 2000 .

[10]  Kazufumi Ito,et al.  Optimal Control of Elliptic Variational Inequalities , 2000 .

[11]  Otto Konstandatos,et al.  A New Method of Pricing Lookback Options , 2005 .

[12]  Kwang Ik Kim,et al.  A mathematical modeling for the lookback option with jump-diffusion using binomial tree method , 2011, J. Comput. Appl. Math..

[13]  Arnd Rösch,et al.  Primal-Dual Active Set Strategy for a General Class of Constrained Optimal Control Problems , 2002, SIAM J. Optim..

[14]  S. Ross,et al.  Option pricing: A simplified approach☆ , 1979 .

[15]  Haiming Song,et al.  An efficient finite element method for pricing American multi-asset put options , 2015, Commun. Nonlinear Sci. Numer. Simul..

[16]  Toshikazu Kimura,et al.  American Fractional Lookback Options: Valuation and Premium Decomposition , 2011, SIAM J. Appl. Math..

[17]  Barbara Wohlmuth,et al.  Numerical techniques for the valuation of basket options and their Greeks , 2010 .

[18]  Karl Kunisch,et al.  A Comparison of a Moreau-Yosida-Based Active Set Strategy and Interior Point Methods for Constrained Optimal Control Problems , 2000, SIAM J. Optim..

[19]  Kazufumi Ito,et al.  The Primal-Dual Active Set Strategy as a Semismooth Newton Method , 2002, SIAM J. Optim..

[20]  Haiming Song,et al.  A fast numerical method for the valuation of American lookback put options , 2015, Commun. Nonlinear Sci. Numer. Simul..

[21]  D. Nicholls,et al.  A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model , 2015 .

[22]  Kazufumi Ito,et al.  Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility , 2009, SIAM J. Sci. Comput..

[23]  Haiming Song,et al.  Projection and Contraction Method for the Valuation of American Options , 2015 .

[24]  K. Kunisch,et al.  Primal-Dual Strategy for Constrained Optimal Control Problems , 1999 .

[25]  Haiming Song,et al.  Weak Galerkin finite element method for valuation of American options , 2014 .