Numerical Study of Splitting Methods for American Option Valuation (Q4626513): Difference between revisions

@@ Property / author @@
-Karel J. in 't Hout
@@ Property / author: Karel J. in 't Hout / rank @@
-Normal rank
@@ Property / author @@
-Radoslav L. Valkov
@@ Property / author: Radoslav L. Valkov / rank @@
-Normal rank
@@ Property / author @@
+Karel J. in 't Hout
@@ Property / author: Karel J. in 't Hout / rank @@
+Normal rank
@@ Property / author @@
+Radoslav L. Valkov
@@ Property / author: Radoslav L. Valkov / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2543833630
@@ Property / OpenAlex ID: W2543833630 / rank @@
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@@ Property / arXiv ID @@
+.09622
@@ Property / arXiv ID: 1610.09622 / rank @@
+Normal rank
@@ Property / cites work @@
+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
+Normal rank
@@ Property / cites work @@
+Q4326384
@@ Property / cites work: Q4326384 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+ADI Schemes for Pricing American Options under the Heston Model
+Normal rank
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+ADI finite difference schemes for option pricing in the Heston model with correlation
+Normal rank
@@ Property / cites work @@
+Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
+Normal rank
@@ Property / cites work @@
+Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
+Normal rank
@@ Property / cites work @@
+The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
+Normal rank
@@ Property / cites work @@
+Q4421310
@@ Property / cites work: Q4421310 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Splitting Algorithms for the Sum of Two Nonlinear Operators
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of Parabolic and Elliptic Differential Equations
+Normal rank
@@ Property / cites work @@
+The impact of a natural time change on the convergence of the Crank-Nicolson scheme
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A finite volume approach for contingent claims valuation
+Normal rank