Pages that link to "Item:Q1735434"
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The following pages link to A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434):
Displaying 14 items.
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
- On power penalty methods for linear complementarity problems arising from American option pricing (Q496599) (← links)
- A HODIE finite difference scheme for pricing American options (Q667962) (← links)
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) (← links)
- Numerical solution of fractional optimal control (Q1730400) (← links)
- Numerical solution of linear/nonlinear fractional order differential equations using Jacobi operational matrix (Q1738740) (← links)
- A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989) (← links)
- Chebyshev-Legendre spectral method and inverse problem analysis for the space fractional Benjamin-Bona-Mahony equation (Q2181668) (← links)
- A 2nd-order one-point numerical integration scheme for fractional ordinary differential equations (Q2402869) (← links)
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
- PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS (Q5101563) (← links)
- Perpetual cancellable American options with convertible features (Q6067091) (← links)
- On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem (Q6078632) (← links)
- (Q6119113) (← links)
