Pages that link to "Item:Q6040370"
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The following pages link to A penalty method for American multi-asset option problems (Q6040370):
Displaying 10 items.
- A numerical analysis of variational valuation techniques for derivative securities (Q702595) (← links)
- The randomized American option as a classical solution to the penalized problem (Q898213) (← 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 two-grid penalty method for American options (Q1993545) (← links)
- Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765) (← links)
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) (← links)
- Quadratic convergence for valuing American options using a penalty method (Q2780619) (← links)
- The effect of nonsmooth payoffs on the penalty approximation of American options (Q2873140) (← links)
- (Q3110762) (← links)