Pages that link to "Item:Q2780619"

The following pages link to Quadratic Convergence for Valuing American Options Using a Penalty Method (Q2780619):

Displayed 33 items.

• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models (Q819096) ‎ (← links)
• Operator splitting methods for pricing American options under stochastic volatility (Q841111) ‎ (← links)
• Computational approaches to solving equations arising from wound healing (Q841793) ‎ (← links)
• Numerical approach to asset pricing models with stochastic differential utility (Q853855) ‎ (← links)
• Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) ‎ (← links)
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) ‎ (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) ‎ (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) ‎ (← links)
• Convergence analysis of a monotonic penalty method for American option pricing (Q950483) ‎ (← links)
• Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) ‎ (← links)
• Penalty methods for the numerical solution of American multi-asset option problems (Q952073) ‎ (← links)
• A fast high-order finite difference algorithm for pricing American options (Q952074) ‎ (← links)
• Infinite reload options: pricing and analysis (Q952078) ‎ (← links)
• Adaptive \(\theta \)-methods for pricing American options (Q952094) ‎ (← links)
• A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) ‎ (← links)
• Quadratic spline collocation for one-dimensional linear parabolic partial differential equations (Q964216) ‎ (← links)
• Numerical methods for Lévy processes (Q964687) ‎ (← links)
• Exponential Rosenbrock integrators for option pricing (Q970405) ‎ (← links)
• Duality and penalization in optimization via an augmented Lagrangian function with applications (Q1024250) ‎ (← links)
• Intensity-based framework and penalty formulation of optimal stopping problems (Q1029998) ‎ (← links)
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) ‎ (← links)
• A penalty method for American options with jump diffusion processes (Q1889909) ‎ (← links)
• Power penalty method for a linear complementarity problem arising from American option valuation (Q2370044) ‎ (← links)
• Valuation of American options by the gradient projection method (Q2379062) ‎ (← links)
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) ‎ (← links)
• The impacts of uncertainties in a real options model under incomplete information (Q2467288) ‎ (← links)
• Augmented Lagrangian method applied to American option pricing (Q2507936) ‎ (← links)
• Pseudospectral methods for pricing options (Q3182746) ‎ (← links)
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (Q3527432) ‎ (← links)
• An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738) ‎ (← links)
• Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data (Q4680486) ‎ (← links)
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (Q5292283) ‎ (← links)
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (Q5851724) ‎ (← links)