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

@@ Property / DOI @@
-.1016/j.apm.2017.07.038
@@ Property / DOI: 10.1016/j.apm.2017.07.038 / rank @@
-Normal rank
@@ Property / cites work @@
+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
+Normal rank
@@ Property / cites work @@
+Q4199298
@@ Property / cites work: Q4199298 / rank @@
+Normal rank
@@ Property / cites work @@
+A double obstacle problem arising in differential game theory
+Normal rank
@@ Property / cites work @@
+Q5480826
@@ Property / cites work: Q5480826 / rank @@
+Normal rank
@@ Property / cites work @@
+A penalty method for a fractional order parabolic variational inequality governing American put option valuation
+Normal rank
@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
+Normal rank
@@ Property / cites work @@
+Computation of reservation prices of options with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+A Class of Active-Set Newton Methods for Mixed ComplementarityProblems
+Normal rank
@@ Property / cites work @@
+Q4868513
@@ Property / cites work: Q4868513 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3433874
@@ Property / cites work: Q3433874 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-Dimensional Variational Inequalities and Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Engineering and Economic Applications of Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Interior Methods for Nonlinear Optimization
@@ Property / cites work: Interior Methods for Nonlinear Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+An NE/SQP method for the bounded nonlinear complementarity problem
+Normal rank
@@ Property / cites work @@
+Q3694624
@@ Property / cites work: Q3694624 / rank @@
+Normal rank
@@ Property / cites work @@
+A power penalty approach to a nonlinear complementarity problem
+Normal rank
@@ Property / cites work @@
+A penalty method for a mixed nonlinear complementarity problem
+Normal rank
@@ Property / cites work @@
+Global optimization techniques for mixed complementarity problems
+Normal rank
@@ Property / cites work @@
+An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
+Normal rank
@@ Property / cites work @@
+Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
+Normal rank
@@ Property / cites work @@
+Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
+Normal rank
@@ Property / cites work @@
+A numerical method for pricing European options with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Smoothing Newton and quasi-Newton methods for mixed complementarity problems
+Normal rank
@@ Property / cites work @@
+Q5652137
@@ Property / cites work: Q5652137 / rank @@
+Normal rank
@@ Property / cites work @@
+Interior-point methods for nonlinear complementarity problems
+Normal rank
@@ Property / cites work @@
+Q5342712
@@ Property / cites work: Q5342712 / rank @@
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ Property / cites work @@
+A penalty method for a finite-dimensional obstacle problem with derivative constraints
+Normal rank
@@ Property / cites work @@
+A penalty approach to a discretized double obstacle problem with derivative constraints
+Normal rank
@@ Property / cites work @@
+A power penalty method for linear complementarity problems
+Normal rank
@@ Property / cites work @@
+A power penalty method for a bounded nonlinear complementarity problem
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+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
+Normal rank
@@ Property / cites work @@
+Some mathematical results in the pricing of American options
+Normal rank
@@ Property / cites work @@
+On stationary points of the implicit Lagrangian for nonlinear complementarity problems
+Normal rank
@@ Property / cites work @@
+Convergence property of an interior penalty approach to pricing American option
+Normal rank
@@ Property / cites work @@
+Pricing American bond options using a penalty method
+Normal rank
@@ Property / cites work @@
+A penalty approximation method for a semilinear parabolic double obstacle problem
+Normal rank
@@ Property / DOI @@
+.1016/J.APM.2017.07.038
@@ Property / DOI: 10.1016/J.APM.2017.07.038 / rank @@
+Normal rank