Haiming Song

Available identifiers

zbMath Open song.haimingMaRDI QIDQ387448

List of research outcomes

Publication	Date of Publication	Type
Inexact primal-dual active set iteration for optimal distribution control of stationary heat or cold source	2025-01-20	Paper
An efficient ADAM-type algorithm with finite elements discretization technique for random elliptic optimal control problems	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	2024-08-21	Paper
Primal-dual active set algorithm for valuating American options under regime switching	2024-08-21	Paper
Primal-dual active set method for evaluating American put options on zero-coupon bonds	2024-06-10	Paper
Projection and contraction method for the valuation of American options under regime switching	2024-04-30	Paper
Error analysis of finite difference scheme for American option pricing under regime-switching with jumps	2023-10-17	Paper
A splitting algorithm for constrained optimization problems with parabolic equations	2023-06-22	Paper
Block mirror stochastic gradient method for stochastic optimization	2023-06-20	Paper
Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets	2022-04-20	Paper
Semi-implicit FEM for the valuation of American options under the Heston model	2022-03-15	Paper
An Alternating Direction Method of Multipliers for the Optimization Problem Constrained with a Stationary Maxwell System	2021-10-29	Paper
An Alternating Direction Method of Multipliers for Optimal Control Problems Constrained with Elliptic Equations	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	2021-10-12	Paper
Primal-dual active set method for pricing American better-of option on two assets	2020-10-20	Paper
An efficient numerical method for the valuation of American multi-asset options	2020-10-15	Paper
Efficient numerical methods for elliptic optimal control problems with random coefficient	2020-07-14	Paper
Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options	2018-07-18	Paper
Primal-Dual Active Set Method for American Lookback Put Option Pricing	2018-02-27	Paper
https://portal.mardi4nfdi.de/entity/Q2987385	2017-05-17	Paper
https://portal.mardi4nfdi.de/entity/Q5257277	2015-06-29	Paper
Front-fixing FEMs for the pricing of American options based on a PML technique	2015-05-13	Paper
https://portal.mardi4nfdi.de/entity/Q5499338	2015-02-11	Paper
https://portal.mardi4nfdi.de/entity/Q5498113	2015-02-11	Paper
Spectral methods for the Black-Scholes model of American options valuation	2014-11-03	Paper
Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays	2013-12-23	Paper

Research outcomes over time

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