Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475): Difference between revisions

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+A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q5709400
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+On the pricing of American options
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+REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION
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+On an artificial neural network for inverse scattering problems
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+Q2987385
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+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
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+A Front-Fixing Finite Element Method for the Valuation of American Options
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+Primal-dual active set method for pricing American better-of option on two assets
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+An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation
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+A Fast Numerical Method for the Black--Scholes Equation of American Options
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+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Augmented Lagrangian methods for nonsmooth, convex optimization in Hilbert spaces
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+The Primal-Dual Active Set Strategy as a Semismooth Newton Method
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+Primal-Dual Strategy for Constrained Optimal Control Problems
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+Primal-Dual Active Set Method for American Lookback Put Option Pricing
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+Weak Galerkin finite element method for valuation of American options
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+A fast numerical method for the valuation of American lookback put options
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+Approximation in the finite element method
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+A Convergence Estimate for an Approximation of a Parabolic Variational Inequality
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+On the perturbations of maps obeying Shannon-Whittaker-Kotel'nikov's theorem generalization
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+Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
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+Yang-Laplace decomposition method for nonlinear system of local fractional partial differential equations
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+Simultaneous recovery of surface heat flux and thickness of a solid structure by ultrasonic measurements
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+A neural network scheme for recovering scattering obstacles with limited phaseless far-field data
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