Pages that link to "Item:Q2370044"

The following pages link to Power penalty method for a linear complementarity problem arising from American option valuation (Q2370044):

Displaying 50 items.

• A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
• A fixed-point method for a class of super-large scale nonlinear complementarity problems (Q316584) (← links)
• Pricing American bond options using a penalty method (Q445080) (← links)
• A penalty approximation method for a semilinear parabolic double obstacle problem (Q480830) (← links)
• On power penalty methods for linear complementarity problems arising from American option pricing (Q496599) (← links)
• A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
• A box-constrained differentiable penalty method for nonlinear complementarity problems (Q496621) (← links)
• A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
• Evaluating American put options on zero-coupon bonds by a penalty method (Q544230) (← links)
• Convergence property of an interior penalty approach to pricing American option (Q549902) (← links)
• A penalty method for a mixed nonlinear complementarity problem (Q651131) (← links)
• A HODIE finite difference scheme for pricing American options (Q667962) (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
• A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
• The randomized American option as a classical solution to the penalized problem (Q898213) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
• A power penalty method for linear complementarity problems (Q935226) (← links)
• A power penalty method for solving a nonlinear parabolic complementarity problem (Q943659) (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
• Convergence analysis of a monotonic penalty method for American option pricing (Q950483) (← links)
• A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
• Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
• A power penalty approach to American option pricing with jump diffusion processes (Q1008786) (← links)
• Convergence of the augmented Lagrangian method for nonlinear optimization problems over second-order cones (Q1014035) (← links)
• A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
• Modeling and computation of water management by real options (Q1716925) (← links)
• Power penalty approach to American options pricing under regime switching (Q1730815) (← links)
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
• Applying a power penalty method to numerically pricing American bond options (Q1762398) (← links)
• Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
• A fitted finite volume method for real option valuation of risks in climate change (Q2006268) (← links)
• An accelerated monotonic convergent algorithm for a class of non-Lipschitzian NCP\((F)\) involving an \(M\)-matrix (Q2033076) (← links)
• Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion (Q2039197) (← links)
• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
• Solution method for discrete double obstacle problems based on a power penalty approach (Q2076391) (← links)
• A modification of Galerkin's method for option pricing (Q2086928) (← links)
• Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem (Q2097464) (← links)
• Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm (Q2171124) (← links)
• Numerical solution of an obstacle problem with interval coefficients (Q2178955) (← links)
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method (Q2190271) (← links)
• An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints (Q2200796) (← links)
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models (Q2227316) (← links)
• Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing (Q2242714) (← links)
• A power penalty approach to a nonlinear complementarity problem (Q2270328) (← links)
• Power penalty method for solving HJB equations arising from finance (Q2288647) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)