Pages that link to "Item:Q903007"

The following pages link to Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007):

Displaying 10 items.

• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← 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)
• A computational method to price with transaction costs under the nonlinear Black-Scholes model (Q2213466) (← links)
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models (Q2227316) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← 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)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• An ETD method for multi‐asset American option pricing under jump‐diffusion model (Q6143557) (← links)