Pages that link to "Item:Q3096882"

The following pages link to On the solution of complementarity problems arising in American options pricing (Q3096882):

Displaying 15 items.

• Primal-dual active-set methods for large-scale optimization (Q493264) (← links)
• Computing American option price under regime switching with rationality parameter (Q520865) (← 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)
• 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)
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations (Q6087702) (← links)