Pages that link to "Item:Q2873140"
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The following pages link to The effect of nonsmooth payoffs on the penalty approximation of American options (Q2873140):
Displaying 12 items.
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching (Q461227) (← links)
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion (Q465077) (← links)
- The randomized American option as a classical solution to the penalized problem (Q898213) (← links)
- A two-grid penalty method for American options (Q1993545) (← links)
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (Q2027590) (← links)
- Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
- Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765) (← links)
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization (Q2203922) (← links)
- Pricing American options under multi-state regime switching with an efficient<i>L</i>- stable method (Q2804504) (← links)
- Free boundary and retirement benefits pricing in a jump-diffusion model (Q3383200) (← links)
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS (Q4608116) (← links)
- Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)
