Pages that link to "Item:Q380461"

The following pages link to Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461):

Displaying 25 items.

• A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
• A penalty approximation method for a semilinear parabolic double obstacle problem (Q480830) (← links)
• On power penalty methods for linear complementarity problems arising from American option pricing (Q496599) (← links)
• A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
• A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← 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)
• 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 approach to a large-scale discretized obstacle problem with nonlinear constraints (Q2200796) (← links)
• Optimal expansion timing decisions in multi-stage PPP projects involving dedicated asset and government subsidies (Q2244198) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
• A power penalty approach to a discretized obstacle problem with nonlinear constraints (Q2329667) (← links)
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
• Pricing options on investment project expansions under commodity price uncertainty (Q2423283) (← links)
• A power penalty method for the general traffic assignment problem with elastic demand (Q2438418) (← links)
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← 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)
• Numerical solution for a parabolic obstacle problem with nonsmooth initial data (Q5175807) (← links)
• On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem (Q6078632) (← links)