| Publication | Date of Publication | Type |
|---|
Parameter estimation in complementarity-constrained parabolic optimal control model: application to American option implied volatility
Inverse Problems | 2025-11-14 | Paper |
A linearized proximal ADMM for stochastic and large-scale convex optimization
Journal of Optimization Theory and Applications | 2025-08-19 | Paper |
Inexact primal-dual active set iteration for optimal distribution control of stationary heat or cold source
Journal of Global Optimization | 2025-01-20 | Paper |
An efficient ADAM-type algorithm with finite elements discretization technique for random elliptic optimal control problems
Journal of Computational and Applied Mathematics | 2024-08-26 | Paper |
A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
Computational and Applied Mathematics | 2024-08-21 | Paper |
Primal-dual active set algorithm for valuating American options under regime switching
Numerical Methods for Partial Differential Equations | 2024-08-21 | Paper |
Primal-dual active set method for evaluating American put options on zero-coupon bonds
Computational and Applied Mathematics | 2024-06-10 | Paper |
Projection and contraction method for the valuation of American options under regime switching
Communications in Nonlinear Science and Numerical Simulation | 2024-04-30 | Paper |
Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
Journal of Computational and Applied Mathematics | 2023-10-17 | Paper |
A splitting algorithm for constrained optimization problems with parabolic equations
Computational and Applied Mathematics | 2023-06-22 | Paper |
Block mirror stochastic gradient method for stochastic optimization
Journal of Scientific Computing | 2023-06-20 | Paper |
Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
Electronic Research Archive | 2022-04-20 | Paper |
Semi-implicit FEM for the valuation of American options under the Heston model
Computational and Applied Mathematics | 2022-03-15 | Paper |
An Alternating Direction Method of Multipliers for the Optimization Problem Constrained with a Stationary Maxwell System
Communications in Computational Physics | 2021-10-29 | Paper |
An alternating direction method of multipliers for optimal control problems constrained with elliptic equations
Advances in Applied Mathematics and Mechanics | 2021-10-12 | Paper |
An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
Advances in Applied Mathematics and Mechanics | 2021-10-12 | Paper |
Primal-dual active set method for pricing American better-of option on two assets
Communications in Nonlinear Science and Numerical Simulation | 2020-10-20 | Paper |
An efficient numerical method for the valuation of American multi-asset options
Computational and Applied Mathematics | 2020-10-15 | Paper |
Efficient numerical methods for elliptic optimal control problems with random coefficient
Electronic Research Archive | 2020-07-14 | Paper |
Finite element and discontinuous Galerkin methods with perfect matched layers for American options
Numerical Mathematics: Theory, Methods and Applications | 2018-07-18 | Paper |
Primal-Dual Active Set Method for American Lookback Put Option Pricing
East Asian Journal on Applied Mathematics | 2018-02-27 | Paper |
| Finite element method for valuation of American lookback options | 2017-05-17 | Paper |
| scientific article; zbMATH DE number 6452735 (Why is no real title available?) | 2015-06-29 | Paper |
Front-fixing FEMs for the pricing of American options based on a PML technique
Applicable Analysis | 2015-05-13 | Paper |
| A finite difference method for solving American put option under the CEV model | 2015-02-11 | Paper |
| Finite difference methods for solving American lookback put options under the Black-Scholes model | 2015-02-11 | Paper |
Spectral methods for the Black-Scholes model of American options valuation
Journal of Mathematical Study | 2014-11-03 | Paper |
Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays
Applied Mathematics and Computation | 2013-12-23 | Paper |
