Meng, Kaiwen; Yang, Xiaoqi First- and second-order necessary conditions via exact penalty functions. (English) Zbl 1323.49013 J. Optim. Theory Appl. 165, No. 3, 720-752 (2015). Reviewer: Do Van Luu (Hanoi) MSC: 49K21 49J52 90C30 90C46 49J53 PDFBibTeX XMLCite \textit{K. Meng} and \textit{X. Yang}, J. Optim. Theory Appl. 165, No. 3, 720--752 (2015; Zbl 1323.49013) Full Text: DOI
Zhang, Kai; Yang, Xiaoqi; Teo, Kok Lay Convergence analysis of a monotonic penalty method for American option pricing. (English) Zbl 1154.91029 J. Math. Anal. Appl. 348, No. 2, 915-926 (2008). Reviewer: Alfred Göpfert (Halle) MSC: 91G20 90C33 90C48 49M30 49J40 PDFBibTeX XMLCite \textit{K. Zhang} et al., J. Math. Anal. Appl. 348, No. 2, 915--926 (2008; Zbl 1154.91029) Full Text: DOI Link
Wang, S.; Yang, X. Q.; Teo, K. L. Power penalty method for a linear complementarity problem arising from American option valuation. (English) Zbl 1139.91020 J. Optim. Theory Appl. 129, No. 2, 227-254 (2006). MSC: 91G80 90C33 35K20 91G60 PDFBibTeX XMLCite \textit{S. Wang} et al., J. Optim. Theory Appl. 129, No. 2, 227--254 (2006; Zbl 1139.91020) Full Text: DOI
Zhang, K.; Yang, X. Q.; Teo, K. L. Augmented Lagrangian method applied to American option pricing. (English) Zbl 1157.91377 Automatica 42, No. 8, 1407-1416 (2006). MSC: 91G60 90C30 91G20 PDFBibTeX XMLCite \textit{K. Zhang} et al., Automatica 42, No. 8, 1407--1416 (2006; Zbl 1157.91377) Full Text: DOI