An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323): Difference between revisions

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-Songgui Wang
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+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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+Finite-Dimensional Variational Inequalities and Complementarity Problems
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+Interior Methods for Nonlinear Optimization
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+An NE/SQP method for the bounded nonlinear complementarity problem
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+A power penalty approach to a nonlinear complementarity problem
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+Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
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+Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
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+Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
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+A numerical method for pricing European options with proportional transaction costs
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+Smoothing Newton and quasi-Newton methods for mixed complementarity problems
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+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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+A penalty method for a finite-dimensional obstacle problem with derivative constraints
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+A penalty approach to a discretized double obstacle problem with derivative constraints
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+A power penalty method for a bounded nonlinear complementarity problem
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
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+Some mathematical results in the pricing of American options
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+On stationary points of the implicit Lagrangian for nonlinear complementarity problems
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+Convergence property of an interior penalty approach to pricing American option
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+Pricing American bond options using a penalty method
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+A penalty approximation method for a semilinear parabolic double obstacle problem
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