{"id":"https://openalex.org/W1984152776","doi":"https://doi.org/10.1080/10556780903051930","title":"Numerical performance of penalty method for American option pricing","display_name":"Numerical performance of penalty method for American option pricing","publication_year":2009,"publication_date":"2009-08-17","ids":{"openalex":"https://openalex.org/W1984152776","doi":"https://doi.org/10.1080/10556780903051930","mag":"1984152776"},"language":"en","primary_location":{"id":"doi:10.1080/10556780903051930","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10556780903051930","pdf_url":null,"source":{"id":"https://openalex.org/S103047102","display_name":"Optimization methods & software","issn_l":"1026-7670","issn":["1026-7670","1029-4937","1055-6788"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Optimization Methods and Software","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046861864","display_name":"K. Zhang","orcid":null},"institutions":[{"id":"https://openalex.org/I180726961","display_name":"Shenzhen University","ror":"https://ror.org/01vy4gh70","country_code":"CN","type":"education","lineage":["https://openalex.org/I180726961"]},{"id":"https://openalex.org/I4210094699","display_name":"Shenzhen Sixth People's Hospital","ror":"https://ror.org/00qftst12","country_code":"CN","type":"healthcare","lineage":["https://openalex.org/I4210094699"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"K. Zhang","raw_affiliation_strings":["\n Department of Finance, Business School, Shenzhen University, Nanshan District, Shenzhen, 518060, People's Republic of China","Department of Finance, Business School, Shenzhen University, Shenzhen, People's Republic of China#TAB#"],"affiliations":[{"raw_affiliation_string":"\n Department of Finance, Business School, Shenzhen University, Nanshan District, Shenzhen, 518060, People's Republic of China","institution_ids":["https://openalex.org/I4210094699","https://openalex.org/I180726961"]},{"raw_affiliation_string":"Department of Finance, Business School, Shenzhen University, Shenzhen, People's Republic of China#TAB#","institution_ids":["https://openalex.org/I180726961"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5024523994","display_name":"Xiaoqi Yang","orcid":"https://orcid.org/0000-0002-5583-4032"},"institutions":[{"id":"https://openalex.org/I14243506","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98","country_code":"HK","type":"education","lineage":["https://openalex.org/I14243506"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"X. Q. Yang","raw_affiliation_strings":["\n Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, People's Republic of China","Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, People's Republic of China"],"affiliations":[{"raw_affiliation_string":"\n Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, People's Republic of China","institution_ids":["https://openalex.org/I14243506"]},{"raw_affiliation_string":"Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, People's Republic of China","institution_ids":["https://openalex.org/I14243506"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100326206","display_name":"Song Wang","orcid":"https://orcid.org/0000-0002-5198-8173"},"institutions":[{"id":"https://openalex.org/I177877127","display_name":"University of Western Australia","ror":"https://ror.org/047272k79","country_code":"AU","type":"education","lineage":["https://openalex.org/I177877127"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"S. Wang","raw_affiliation_strings":["\n School of Mathematics and Statistics, The University of Western Australia, Perth, 6009, Australia","School of Mathematics and Statistics, The University of Western Australia, Perth, Australia"],"affiliations":[{"raw_affiliation_string":"\n School of Mathematics and Statistics, The University of Western Australia, Perth, 6009, Australia","institution_ids":["https://openalex.org/I177877127"]},{"raw_affiliation_string":"School of Mathematics and Statistics, The University of Western Australia, Perth, Australia","institution_ids":["https://openalex.org/I177877127"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010897184","display_name":"Kok Lay Teo","orcid":"https://orcid.org/0000-0002-5903-7698"},"institutions":[{"id":"https://openalex.org/I205640436","display_name":"Curtin University","ror":"https://ror.org/02n415q13","country_code":"AU","type":"education","lineage":["https://openalex.org/I205640436"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"K. L. Teo","raw_affiliation_strings":["\n Department of Mathematics and Statistics, The Curtin University of Technology, Perth, Australia","Department of Mathematics and Statistics, The Curtin University of Technology, Perth, Australia"],"affiliations":[{"raw_affiliation_string":"\n Department of Mathematics and Statistics, The Curtin University of Technology, Perth, Australia","institution_ids":["https://openalex.org/I205640436"]},{"raw_affiliation_string":"Department of Mathematics and Statistics, The Curtin University of Technology, Perth, Australia","institution_ids":["https://openalex.org/I205640436"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5046861864"],"corresponding_institution_ids":["https://openalex.org/I180726961","https://openalex.org/I4210094699"],"apc_list":null,"apc_paid":null,"fwci":0.3652,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.70730995,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"25","issue":"5","first_page":"737","last_page":"752"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9966999888420105,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9966999888420105,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10360","display_name":"Fluid Dynamics and Turbulent Flows","score":0.9240999817848206,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/penalty-method","display_name":"Penalty method","score":0.6592603325843811},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6428842544555664},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5682209134101868},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5534258484840393},{"id":"https://openalex.org/keywords/linear-complementarity-problem","display_name":"Linear complementarity problem","score":0.5392772555351257},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.4933432638645172},{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.47900813817977905},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4737297594547272},{"id":"https://openalex.org/keywords/complementarity-theory","display_name":"Complementarity theory","score":0.4609677195549011},{"id":"https://openalex.org/keywords/parabolic-partial-differential-equation","display_name":"Parabolic partial differential equation","score":0.4576709270477295},{"id":"https://openalex.org/keywords/complementarity","display_name":"Complementarity (molecular biology)","score":0.4402676224708557},{"id":"https://openalex.org/keywords/finite-volume-method","display_name":"Finite volume method","score":0.4375641345977783},{"id":"https://openalex.org/keywords/time-stepping","display_name":"Time stepping","score":0.4363534450531006},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.43594232201576233},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.42426568269729614},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.35808053612709045},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.18839934468269348},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.1748822033405304},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.10537376999855042}],"concepts":[{"id":"https://openalex.org/C6180225","wikidata":"https://www.wikidata.org/wiki/Q3411771","display_name":"Penalty method","level":2,"score":0.6592603325843811},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6428842544555664},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5682209134101868},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5534258484840393},{"id":"https://openalex.org/C34320192","wikidata":"https://www.wikidata.org/wiki/Q783105","display_name":"Linear complementarity problem","level":3,"score":0.5392772555351257},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.4933432638645172},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.47900813817977905},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4737297594547272},{"id":"https://openalex.org/C85404239","wikidata":"https://www.wikidata.org/wiki/Q5156417","display_name":"Complementarity theory","level":3,"score":0.4609677195549011},{"id":"https://openalex.org/C186867907","wikidata":"https://www.wikidata.org/wiki/Q1575416","display_name":"Parabolic partial differential equation","level":3,"score":0.4576709270477295},{"id":"https://openalex.org/C202269582","wikidata":"https://www.wikidata.org/wiki/Q2644277","display_name":"Complementarity (molecular biology)","level":2,"score":0.4402676224708557},{"id":"https://openalex.org/C50478463","wikidata":"https://www.wikidata.org/wiki/Q1401936","display_name":"Finite volume method","level":2,"score":0.4375641345977783},{"id":"https://openalex.org/C3019693144","wikidata":"https://www.wikidata.org/wiki/Q541182","display_name":"Time stepping","level":3,"score":0.4363534450531006},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.43594232201576233},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.42426568269729614},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.35808053612709045},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.18839934468269348},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.1748822033405304},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.10537376999855042},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0},{"id":"https://openalex.org/C57879066","wikidata":"https://www.wikidata.org/wiki/Q41217","display_name":"Mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1080/10556780903051930","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10556780903051930","pdf_url":null,"source":{"id":"https://openalex.org/S103047102","display_name":"Optimization methods & software","issn_l":"1026-7670","issn":["1026-7670","1029-4937","1055-6788"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Optimization Methods and Software","raw_type":"journal-article"},{"id":"pmh:oai:pure.atira.dk:publications/cd0af800-f758-49f3-9130-0258d308c6ac","is_oa":false,"landing_page_url":"https://research-repository.uwa.edu.au/en/publications/cd0af800-f758-49f3-9130-0258d308c6ac","pdf_url":null,"source":{"id":"https://openalex.org/S4306402523","display_name":"UWA Profiles and Research Repository (University of Western Australia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I177877127","host_organization_name":"The University of Western Australia","host_organization_lineage":["https://openalex.org/I177877127"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Zhang , K , Yang , X Q , Wang , S & Teo , K L 2010 , ' Numerical performance of penalty method for American option pricing ' , OPTIMIZATION METHODS & SOFTWARE , vol. 25 , pp. 737-752 . https://doi.org/10.1080/10556780903051930","raw_type":"article"},{"id":"pmh:oai:espace.curtin.edu.au:20.500.11937/17748","is_oa":false,"landing_page_url":"http://hdl.handle.net/20.500.11937/17748","pdf_url":null,"source":{"id":"https://openalex.org/S4306401790","display_name":"eSpace (Curtin University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205640436","host_organization_name":"Curtin University","host_organization_lineage":["https://openalex.org/I205640436"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal Article"},{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/23493","is_oa":false,"landing_page_url":"http://hdl.handle.net/10397/23493","pdf_url":null,"source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal/Magazine Article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Peace, Justice and strong institutions","score":0.800000011920929,"id":"https://metadata.un.org/sdg/16"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1571438983","https://openalex.org/W1577789187","https://openalex.org/W1600624394","https://openalex.org/W1831889808","https://openalex.org/W2014001084","https://openalex.org/W2019935264","https://openalex.org/W2031293992","https://openalex.org/W2054756613","https://openalex.org/W2063529817","https://openalex.org/W2069623243","https://openalex.org/W2077791698","https://openalex.org/W2136287637","https://openalex.org/W2146612430","https://openalex.org/W2156690247","https://openalex.org/W3124476577"],"related_works":["https://openalex.org/W2052366866","https://openalex.org/W4220847489","https://openalex.org/W2125058146","https://openalex.org/W2016940464","https://openalex.org/W2358901572","https://openalex.org/W2276648117","https://openalex.org/W2028943836","https://openalex.org/W2100762546","https://openalex.org/W2391163278","https://openalex.org/W1978727485"],"abstract_inverted_index":{"This":[0],"paper":[1],"is":[2,28,72],"devoted":[3],"to":[4,68,90],"studying":[5],"the":[6,50,56,63,69,85,91],"numerical":[7,79],"performance":[8],"of":[9,55,60,62,84],"a":[10,15,29],"power":[11],"penalty":[12,64,70,86],"method":[13,40,87],"for":[14],"linear":[16],"parabolic":[17,31],"complementarity":[18],"problem":[19,27],"arising":[20],"from":[21,101],"American":[22],"option":[23],"valuation.":[24],"The":[25,58,78],"penalized":[26],"nonlinear":[30],"partial":[32],"differential":[33],"equation":[34],"(PDE).":[35],"A":[36],"fitted":[37],"finite":[38],"volume":[39],"and":[41,52,76,81,97],"an":[42,102],"implicit":[43],"time-stepping":[44],"scheme":[45],"are":[46,94],"used":[47],"for,":[48],"respectively,":[49],"spatial":[51],"time":[53],"discretizations":[54],"PDE.":[57],"rate":[59],"convergence":[61],"methods":[65],"with":[66,88,99],"respect":[67,89],"parameters":[71,93],"investigated":[73],"both":[74],"theoretically":[75],"numerically.":[77],"robustness":[80],"computational":[82],"effectiveness":[83],"market":[92],"also":[95],"studied":[96],"compared":[98],"those":[100],"existing":[103],"popular":[104],"method,":[105],"project":[106],"successive":[107],"over":[108],"relaxation.":[109]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}