Numerical performance of penalty method for American option pricing (Q3161139): Difference between revisions

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-Q200495
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-Songgui Wang
@@ Property / author: Songgui Wang / rank @@
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@@ Property / author @@
-Kok Lay Teo
@@ Property / author: Kok Lay Teo / rank @@
-Normal rank
@@ Property / author @@
+Xiao Qi Yang
@@ Property / author: Xiao Qi Yang / rank @@
+Normal rank
@@ Property / author @@
+Songgui Wang
@@ Property / author: Songgui Wang / rank @@
+Normal rank
@@ Property / author @@
+Kok Lay Teo
@@ Property / author: Kok Lay Teo / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / OpenAlex ID @@
+W1984152776
@@ Property / OpenAlex ID: W1984152776 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+A fitted finite volume method for the valuation of options on assets with stochastic volatilities
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
+Normal rank
@@ Property / cites work @@
+Decreasing Functions with Applications to Penalization
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ Property / cites work @@
+A power penalty method for linear complementarity problems
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+Pricing options under jump diffusion processes with fitted finite volume method
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3161139