A power penalty method for a bounded nonlinear complementarity problem
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Cites work
- scientific article; zbMATH DE number 3899626 (Why is no real title available?)
- scientific article; zbMATH DE number 3716008 (Why is no real title available?)
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A power penalty approach to a nonlinear complementarity problem
- A power penalty method for linear complementarity problems
- A power penalty method for solving a nonlinear parabolic complementarity problem
- An NE/SQP method for the bounded nonlinear complementarity problem
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
Cited in
(23)- A power penalty method for linear complementarity problems over symmetric cones
- A power penalty method for the general traffic assignment problem with elastic demand
- Solution method for discrete double obstacle problems based on a power penalty approach
- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- Recent advances in numerical solution of HJB equations arising in option pricing
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- A power penalty approach to a discretized obstacle problem with nonlinear constraints
- Penalty method for indifference pricing of American option in a liquidity switching market
- Solving American option optimal control problems in financial markets using a novel neural network
- Smoothing power penalty method for nonlinear complementarity problems
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- A power penalty method for linear complementarity problems
- A nonlinear complementarity approach to multiuser power control for digital subscriber lines
- A power penalty method for solving a nonlinear parabolic complementarity problem
- Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm
- A power penalty method for second-order cone nonlinear complementarity problems
- A box-constrained differentiable penalty method for nonlinear complementarity problems
- A penalty method for a mixed nonlinear complementarity problem
- A power penalty approach to a nonlinear complementarity problem
- An interior-point derivative-free algorithm for nonlinear complementarity problems
- Convergence analysis of a power penalty approach for a class of nonlocal double phase complementarity systems
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