Penalty methods for the numerical solution of American multi-asset option problems (Q952073): Difference between revisions

@@ Property / DOI @@
-.1016/j.cam.2007.10.041
@@ Property / DOI: 10.1016/j.cam.2007.10.041 / 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 @@
+Q4843151
@@ Property / cites work: Q4843151 / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation of foreign currency options under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
+Normal rank
@@ Property / cites work @@
+On the use of boundary conditions for variational formulations arising in financial mathematics.
+Normal rank
@@ Property / cites work @@
+A numerical analysis of variational valuation techniques for derivative securities
+Normal rank
@@ Property / cites work @@
+Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
+Normal rank
@@ Property / cites work @@
+Some mathematical results in the pricing of American options
+Normal rank
@@ Property / cites work @@
+A finite volume approach for contingent claims valuation
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2007.10.041
@@ Property / DOI: 10.1016/J.CAM.2007.10.041 / rank @@
+Normal rank