Pages that link to "Item:Q445080"

The following pages link to Pricing American bond options using a penalty method (Q445080):

Displaying 24 items.

• A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
• An integro-differential parabolic variational inequality arising from the valuation of double barrier American option (Q488919) (← 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)
• 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)
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
• Applying a power penalty method to numerically pricing American bond options (Q1762398) (← links)
• An efficient computational algorithm for pricing European, barrier and American options (Q1993476) (← links)
• A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (Q1997321) (← links)
• Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion (Q2039197) (← links)
• A modification of Galerkin's method for option pricing (Q2086928) (← links)
• Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
• An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints (Q2200796) (← links)
• An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
• Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge (Q2293279) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
• A continuous-time model for valuing foreign exchange options (Q2318921) (← links)
• A power penalty approach to a discretized obstacle problem with nonlinear constraints (Q2329667) (← 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)
• Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method (Q5156967) (← links)
• A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model (Q6180325) (← links)