Pages that link to "Item:Q3096882"
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The following pages link to On the solution of complementarity problems arising in American options pricing (Q3096882):
Displaying 24 items.
- Primal-dual active-set methods for large-scale optimization (Q493264) (← links)
- A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
- Computing American option price under regime switching with rationality parameter (Q520865) (← links)
- Pricing American options with uncertain volatility through stochastic linear complementarity models (Q763392) (← links)
- On multigrid for linear complementarity problems with application to American-style options (Q1407712) (← links)
- A descent algorithm for generalized complementarity problems based on generalized Fischer-Burmeister functions (Q1655357) (← links)
- Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (Q2007600) (← links)
- Investment flexibility as a barrier to entry (Q2191517) (← links)
- A new operator splitting method for American options under fractional Black-Scholes models (Q2203918) (← links)
- An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
- Error bounds for linear complementarity problems of \(S\)-QN matrices (Q2299209) (← links)
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model (Q2302378) (← links)
- A globally convergent primal-dual active-set framework for large-scale convex quadratic optimization (Q2340521) (← links)
- Augmented Lagrangian method applied to American option pricing (Q2507936) (← links)
- An iterative two-step algorithm for American option pricing (Q2704186) (← links)
- Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (Q2941477) (← links)
- A Solver for Nonconvex Bound-Constrained Quadratic Optimization (Q3454512) (← links)
- (Q4459815) (← links)
- A Note on Market Completeness with American Put Options (Q4561927) (← links)
- ON THE AMERICAN OPTION PROBLEM (Q5464339) (← links)
- On American Derivatives and Related Obstacle Problems (Q5696869) (← links)
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations (Q6087702) (← links)
