Pages that link to "Item:Q2780619"

The following pages link to Quadratic convergence for valuing American options using a penalty method (Q2780619):

Displaying 50 items.

• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing (Q273385) (← links)
• Stabilized explicit Runge-Kutta methods for multi-asset American options (Q316630) (← 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 decomposition approach via Fourier sine transform for valuing American knock-out options with rebates (Q508042) (← links)
• Radial basis functions method for valuing options: a multinomial tree approach (Q515756) (← links)
• Limitations and improvements of standard spectral methods for pricing standard options (Q531074) (← links)
• Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems (Q540550) (← links)
• A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
• Optimal decision for selling an illiquid stock (Q658561) (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models (Q819096) (← links)
• Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
• Computational approaches to solving equations arising from wound healing (Q841793) (← links)
• Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
• Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) (← links)
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method (Q890161) (← 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)
• Pricing European and American options by radial basis point interpolation (Q903013) (← links)
• Reserve-dependent surrender rates (Q903674) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options (Q907677) (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← 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)
• Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) (← links)
• Penalty methods for the numerical solution of American multi-asset option problems (Q952073) (← links)
• A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
• Infinite reload options: pricing and analysis (Q952078) (← links)
• Adaptive \(\theta \)-methods for pricing American options (Q952094) (← links)
• A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
• Quadratic spline collocation for one-dimensional linear parabolic partial differential equations (Q964216) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Exponential Rosenbrock integrators for option pricing (Q970405) (← links)
• Duality and penalization in optimization via an augmented Lagrangian function with applications (Q1024250) (← links)
• Intensity-based framework and penalty formulation of optimal stopping problems (Q1029998) (← links)
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) (← links)
• Penalty methods for American options with stochastic volatility (Q1298615) (← links)
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) (← links)
• Costly arbitrage through pairs trading (Q1657539) (← links)
• Hiring, firing, and relocation under employment protection (Q1657544) (← links)
• An efficient method for solving spread option pricing problem: numerical analysis and computing (Q1669206) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• Fast and accurate calculation of American option prices (Q1715613) (← links)
• Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations (Q1723304) (← links)