Pages that link to "Item:Q316424"

The following pages link to A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424):

Displayed 23 items.

• A predictor-corrector approach for pricing American options under the finite moment log-stable model (Q493985) ‎ (← links)
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) ‎ (← links)
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) ‎ (← links)
• Numerical solution of fractional optimal control (Q1730400) ‎ (← links)
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) ‎ (← links)
• An efficient computational algorithm for pricing European, barrier and American options (Q1993476) ‎ (← links)
• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989) ‎ (← links)
• Numerical approximation of a time-fractional Black-Scholes equation (Q1999677) ‎ (← links)
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (Q2004502) ‎ (← links)
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models (Q2035502) ‎ (← links)
• Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (Q2148591) ‎ (← links)
• Numerical solution of an obstacle problem with interval coefficients (Q2178955) ‎ (← links)
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method (Q2190271) ‎ (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) ‎ (← links)
• Generalised class of time fractional black Scholes equation and numerical analysis (Q2319595) ‎ (← links)
• A 2nd-order one-point numerical integration scheme for fractional ordinary differential equations (Q2402869) ‎ (← links)
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (Q2403726) ‎ (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) ‎ (← links)
• A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654) ‎ (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) ‎ (← links)
• PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS (Q5101563) ‎ (← links)
• A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation (Q5274927) ‎ (← links)
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING (Q6182056) ‎ (← links)