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

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