Pages that link to "Item:Q549902"

The following pages link to Convergence property of an interior penalty approach to pricing American option (Q549902):

Displaying 16 items.

• A penalty approximation method for a semilinear parabolic double obstacle problem (Q480830) (← 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)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
• A two-grid penalty method for American options (Q1993545) (← links)
• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
• Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem (Q2097464) (← links)
• Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm (Q2171124) (← 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)
• A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654) (← links)
• A penalty-based method from reconstructing smooth local volatility surface from American options (Q2514677) (← links)
• Stochastic approximation methods for American type options (Q2807793) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• The interpolating element-free Galerkin method for the \(p\)-Laplace double obstacle mixed complementarity problem (Q6173966) (← links)