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

@@ Property / DOI @@
-.1016/j.cam.2011.01.038
@@ Property / DOI: 10.1016/j.cam.2011.01.038 / rank @@
-Normal rank
@@ Property / author @@
-Ka-Fai Cedric Yiu
@@ Property / author: Ka-Fai Cedric Yiu / rank @@
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@@ Property / author @@
+Ka-Fai Cedric Yiu
@@ Property / author: Ka-Fai Cedric Yiu / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M08
@@ Property / Mathematics Subject Classification ID: 65M08 / rank @@
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@@ Property / zbMATH DE Number @@
+5907721
@@ Property / zbMATH DE Number: 5907721 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+zero-coupon bond
@@ Property / zbMATH Keywords: zero-coupon bond / rank @@
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@@ Property / zbMATH Keywords @@
+American put option
@@ Property / zbMATH Keywords: American put option / rank @@
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@@ Property / zbMATH Keywords @@
+linear complementarity problem
@@ Property / zbMATH Keywords: linear complementarity problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite volume method
@@ Property / zbMATH Keywords: finite volume method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+power penalty method
@@ Property / zbMATH Keywords: power penalty method / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2011.01.038
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@@ Property / OpenAlex ID @@
+W1971359250
@@ Property / OpenAlex ID: W1971359250 / rank @@
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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
+Normal rank
@@ Property / cites work @@
+ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+Variational inequalities and the pricing of American options
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2011.01.038
@@ Property / DOI: 10.1016/J.CAM.2011.01.038 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:544230