Pages that link to "Item:Q751451"

The following pages link to Variational inequalities and the pricing of American options (Q751451):

Displaying 50 items.

• General iterative algorithms for solving mixed quasi-variational-like inclusions (Q2389487) (← links)
• Strong convergence theorems for variational inequality problems and fixed point problems in uniformly smooth and uniformly convex Banach spaces (Q2393079) (← links)
• Convergence of hybrid steepest-descent methods for generalized variational inequalities (Q2431880) (← links)
• Strong convergence of the modified hybrid steepest-descent methods for general variational inequalities (Q2454974) (← links)
• New insights on testing the efficiency of methods of pricing and hedging American options (Q2456420) (← links)
• On the behaviour near expiry for multi-dimensional American options (Q2465175) (← links)
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) (← links)
• Hybrid steepest descent method with variable parameters for general variational inequalities (Q2471948) (← links)
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients (Q2490005) (← links)
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options (Q2498794) (← links)
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852) (← links)
• Variational approach for a general financial equilibrium problem: the deficit formula, the balance law and the liability formula. A path to the economy recovery (Q2514825) (← links)
• Option valuation by using discrete singular convolution (Q2570721) (← links)
• On convergence of a semi-analytical method for American option pricing (Q2577164) (← links)
• Parallel solution of American option derivatives on GPU clusters (Q2629425) (← links)
• A moving boundary approach to American option pricing (Q2654413) (← links)
• Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
• An iterative two step algorithm for American options pricing (Q2737610) (← links)
• A free boundary problem coming from the perpetual American call options with utility (Q2839199) (← links)
• A mimetic discretization of elliptic obstacle problems (Q2840614) (← links)
• Prepayment option of a perpetual corporate loan: the impact of the funding costs (Q2874734) (← links)
• Real options and variational inequalities (Q2928741) (← links)
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS (Q3043554) (← links)
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES (Q3043609) (← links)
• On the solution of complementarity problems arising in American options pricing (Q3096882) (← links)
• CRITICAL STOCK PRICE NEAR EXPIRATION (Q3126224) (← links)
• DISCRETE TIME HEDGING OF THE AMERICAN OPTION (Q3161740) (← links)
• Wavelet Galerkin pricing of American options on Lévy driven assets (Q3375382) (← links)
• Finite volume methods for the valuation of American options (Q3428051) (← links)
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
• <i>A posteriori</i>error analysis for parabolic variational inequalities (Q3507064) (← links)
• A hybrid steepest-descent method for variational inequalities in Hilbert spaces (Q3518693) (← links)
• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES (Q3523594) (← links)
• Exercise Boundary Near Maturity for an American Option on Several Assets (Q3580103) (← links)
• Regularity of the free boundary of an American option on several assets (Q3636924) (← links)
• Dynamic multi-sector, multi-instrument financial networks with futures: Modeling and computation (Q4242780) (← links)
• Nonlinear variational inequalities for jump-diffusion processes and irregular obstacles with a financial application (Q4264248) (← links)
• Some mathematical results in the pricing of American options (Q4294297) (← links)
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities (Q4342181) (← links)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (Q4345925) (← links)
• Convergence of the Critical Price In the Approximation of American Options (Q4372008) (← links)
• Fast numerical valuation of American, exotic and complex options (Q4541537) (← links)
• Multigrid for American option pricing with stochastic volatility (Q4541576) (← links)
• Modified Barrier Penalization Method for Pricing American Options (Q4626502) (← links)
• THE SWING OPTION ON THE STOCK MARKET (Q4675835) (← links)
• Optimal control for n-person differential stochastic inclusions (Q4705833) (← links)
• CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS (Q4796575) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET (Q4906518) (← links)
• Deep backward schemes for high-dimensional nonlinear PDEs (Q4960067) (← links)