Pages that link to "Item:Q2204166"
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The following pages link to An efficient numerical method for the valuation of American multi-asset options (Q2204166):
Displaying 15 items.
- Multi-asset American options and parallel quantization (Q370907) (← links)
- A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717) (← links)
- Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475) (← links)
- A fast numerical method for the valuation of American lookback put options (Q2198448) (← links)
- Primal-dual active set method for pricing American better-of option on two assets (Q2205394) (← links)
- The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387) (← links)
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) (← links)
- Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)
- An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation (Q5156976) (← links)
- Projection and Contraction Method for the Valuation of American Options (Q5251351) (← links)
- A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY (Q5851001) (← links)
- A penalty method for American multi-asset option problems (Q6040370) (← links)
- On some generalized American style derivatives (Q6537148) (← links)
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing (Q6577172) (← links)
