Evaluating American put options on zero-coupon bonds by a penalty method (Q544230): Difference between revisions

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-Ka-Fai Cedric Yiu
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+Ka-Fai Cedric Yiu
@@ Property / author: Ka-Fai Cedric Yiu / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2011.01.038
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+W1971359250
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@@ Property / cites work @@
+Numerical pricing of American put options on zero-coupon bonds.
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@@ Property / cites work @@
+Pricing American interest rate option on zero-coupon bond numerically
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@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
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@@ Property / cites work @@
+A power penalty method for linear complementarity problems
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@@ Property / cites work @@
+ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup>
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+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+Variational inequalities and the pricing of American options
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