A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING (Q5411398): Difference between revisions

@@ Property / DOI @@
-.1111/j.1467-9965.2012.00523.x
@@ Property / DOI: 10.1111/j.1467-9965.2012.00523.x / rank @@
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@@ Property / OpenAlex ID: W2116277703 / rank @@
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+.4483
@@ Property / arXiv ID: 1103.4483 / rank @@
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@@ Property / cites work @@
+Q4356583
@@ Property / cites work: Q4356583 / rank @@
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@@ Property / cites work @@
+Linear Programming Formulation for Optimal Stopping Problems
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+A harmonic function technique for the optimal stopping of diffusions
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+User’s guide to viscosity solutions of second order partial differential equations
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+On the optimal stopping problem for one-dimensional diffusions.
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+Convexity of the optimal stopping boundary for the American put option
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@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
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@@ Property / cites work @@
+Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
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@@ Property / cites work @@
+Semi-Infinite Programming: Theory, Methods, and Applications
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+A Forward Algorithm for Solving Optimal Stopping Problems
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+COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+Optimal stopping of Hunt and Lévy processes
@@ Property / cites work: Optimal stopping of Hunt and Lévy processes / rank @@
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+Existence and explicit determination of optimal stopping times
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+Bounds for the American perpetual put on a stock index
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+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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@@ Property / cites work @@
+Optimal Stopping of One-Dimensional Diffusions
@@ Property / cites work: Optimal Stopping of One-Dimensional Diffusions / rank @@
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+Relaxed cutting plane method for solving linear semi-infinite programming problems
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@@ Property / DOI @@
+.1111/J.1467-9965.2012.00523.X
@@ Property / DOI: 10.1111/J.1467-9965.2012.00523.X / rank @@
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