Titelaufnahme

Titel
An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver
VerfasserHintermüller, Michael In der Gemeinsamen Normdatei der DNB nachschlagen ; Tber, Moulay H.
Erschienen in
SIAM Journal on Control and Optimization, Philadelphia, Pa., 2010, Jg. 48, H. 7, S. 4419-4452
ErschienenSIAM
SpracheEnglisch
DokumenttypAufsatz in einer Zeitschrift
Schlagwörter (EN)American options / parabolic free boundary problem / inverse problem, / PECs / optimality conditions / active-set-Newton solver
ISSN1095-7138
URNurn:nbn:at:at-ubg:3-909 Persistent Identifier (URN)
DOIdoi:10.1137/080737277 
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An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver [3.19 mb]
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Zusammenfassung (Englisch)

An inverse problem in the pricing of American options is considered. The problem is formulated as an output least-squares problem governed by a parabolic variational inequality in non-divergence form. The existence of an optimal solution is proved, and first-order optimality conditions of C-stationarity-type are derived by using a relaxation-penalization technique. Numerically, the discrete optimality system is solved by an active-set-Newton solver with feasibility restoration.

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