Pricing American options with uncertain volatility through stochastic linear complementarity models (Q763392): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10589-010-9344-4
+Normal rank
@@ Property / OpenAlex ID @@
+W2098930751
@@ Property / OpenAlex ID: W2098930751 / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to Stochastic Programming
@@ Property / cites work: Introduction to Stochastic Programming / rank @@
+Normal rank
@@ 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 @@
+Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Robust solution of monotone stochastic linear complementarity problems
+Normal rank
@@ Property / cites work @@
+Multigrid for American option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-Dimensional Variational Inequalities and Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Sample-path solution of stochastic variational inequalities
+Normal rank
@@ Property / cites work @@
+Pricing American options with uncertain volatility through stochastic linear complementarity models
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Optimization Methods
@@ Property / cites work: Stochastic Optimization Methods / rank @@
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank