Power penalty approach to American options pricing under regime switching (Q1730815): Difference between revisions

@@ Property / author @@
-Xiao Qi Yang
@@ Property / author: Xiao Qi Yang / rank @@
-Normal rank
@@ Property / author @@
+Xiao Qi Yang
@@ Property / author: Xiao Qi Yang / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1007/s10957-018-1299-0
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+W2803391148
@@ Property / OpenAlex ID: W2803391148 / 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 @@
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@@ Property / cites work @@
+Q3400731
@@ Property / cites work: Q3400731 / rank @@
+Normal rank
@@ Property / cites work @@
+The fine structure of equity-index option dynamics
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@@ Property / cites work @@
+Q3594586
@@ Property / cites work: Q3594586 / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Trend Following Trading under a Regime Switching Model
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Variational inequalities and the pricing of American options
+Normal rank
@@ Property / cites work @@
+A numerical analysis of American options with regime switching
+Normal rank
@@ Property / cites work @@
+Lagrange-type functions in constrained non-convex optimization.
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+Convergence analysis of a monotonic penalty method for American option pricing
+Normal rank
@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3321366
@@ Property / cites work: Q3321366 / rank @@
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ Property / cites work @@
+On power penalty methods for linear complementarity problems arising from American option pricing
+Normal rank
@@ Property / Wikidata QID @@
+Q129803808
@@ Property / Wikidata QID: Q129803808 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:1730815