A fixed point method for the linear complementarity problem arising from American option pricing (Q519227): Difference between revisions

@@ Property / DOI @@
-.1007/s10255-016-0613-6
@@ Property / DOI: 10.1007/s10255-016-0613-6 / rank @@
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@@ Property / author @@
-Lei Yang
@@ Property / author: Lei Yang / rank @@
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@@ Property / author @@
-Zheng-Hai Huang
@@ Property / author: Zheng-Hai Huang / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+https://doi.org/10.1007/s10255-016-0613-6
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+W2524964978
@@ Property / OpenAlex ID: W2524964978 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Q4003375
@@ Property / cites work: Q4003375 / rank @@
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@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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@@ Property / cites work @@
+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
+Normal rank
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+A Fast Numerical Method for the Black--Scholes Equation of American Options
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+Operator splitting methods for American option pricing.
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+COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
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+Efficient numerical methods for pricing American options under stochastic volatility
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+Variational inequalities and the pricing of American options
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+Improving projected successive overrelaxation method for linear complementarity problems
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+Tools for computational finance
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+Q2704186
@@ Property / cites work: Q2704186 / rank @@
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
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@@ Property / cites work @@
+Q5342712
@@ Property / cites work: Q5342712 / rank @@
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
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@@ Property / cites work @@
+Compact finite difference method for American option pricing
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / DOI @@
+.1007/S10255-016-0613-6
@@ Property / DOI: 10.1007/S10255-016-0613-6 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:519227