The calibration of financial models is laborious, time-consuming and expensive, and needs to be performed frequently by financial institutions. Recently, the application of artificial neural networks (ANNs) for model calibration has gained interest. This paper provides the first comprehensive...

In the paper, we propose a numerical technique based on a finite difference scheme in space and an implicit time-stepping scheme for solving the Hamilton–Jacobi–Bellman (HJB) equation arising from the penalty formulation of the valuation of European options with proportional transaction...

In this work, we present a novel power penalty method for the approximation of a global solution to a double obstacle complementarity problem involving a semilinear parabolic differential operator and a bounded feasible solution set. We first rewrite the double obstacle complementarity problem...

Our strategic objective is to develop a broadly categorized, expandable collection of test problems, to support the benchmarking of nonlinear optimization software packages in integrated technical computing environments (ITCEs). ITCEs—such as Maple, Mathematica, and MATLAB—support concise,...