Pages that link to "Item:Q3161139"
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The following pages link to Numerical performance of penalty method for American option pricing (Q3161139):
Displaying 22 items.
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
- Pricing American bond options using a penalty method (Q445080) (← links)
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion (Q465077) (← links)
- On power penalty methods for linear complementarity problems arising from American option pricing (Q496599) (← links)
- Convergence property of an interior penalty approach to pricing American option (Q549902) (← links)
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
- Convergence analysis of a monotonic penalty method for American option pricing (Q950483) (← links)
- Penalty methods for the numerical solution of American multi-asset option problems (Q952073) (← links)
- Penalty methods for American options with stochastic volatility (Q1298615) (← links)
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
- A two-grid penalty method for American options (Q1993545) (← 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 power penalty method for discrete HJB equations (Q2192989) (← links)
- Power penalty method for solving HJB equations arising from finance (Q2288647) (← links)
- Power penalty method for a linear complementarity problem arising from American option valuation (Q2370044) (← links)
- Convergence analysis of power penalty method for American bond option pricing (Q2393070) (← links)
- Augmented Lagrangian method applied to American option pricing (Q2507936) (← links)
- Quadratic convergence for valuing American options using a penalty method (Q2780619) (← links)
- An unconstrained differentiable penalty method for implicit complementarity problems (Q2829561) (← links)
- (Q3110762) (← links)
- A penalty method for American multi-asset option problems (Q6040370) (← links)
