Haiming Song

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Person:387448

Available identifiers

zbMath Open song.haimingMaRDI QIDQ387448

List of research outcomes





PublicationDate of PublicationType
Inexact primal-dual active set iteration for optimal distribution control of stationary heat or cold source2025-01-20Paper
An efficient ADAM-type algorithm with finite elements discretization technique for random elliptic optimal control problems2024-08-26Paper
A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis2024-08-21Paper
Primal-dual active set algorithm for valuating American options under regime switching2024-08-21Paper
Primal-dual active set method for evaluating American put options on zero-coupon bonds2024-06-10Paper
Projection and contraction method for the valuation of American options under regime switching2024-04-30Paper
Error analysis of finite difference scheme for American option pricing under regime-switching with jumps2023-10-17Paper
A splitting algorithm for constrained optimization problems with parabolic equations2023-06-22Paper
Block mirror stochastic gradient method for stochastic optimization2023-06-20Paper
Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets2022-04-20Paper
Semi-implicit FEM for the valuation of American options under the Heston model2022-03-15Paper
An Alternating Direction Method of Multipliers for the Optimization Problem Constrained with a Stationary Maxwell System2021-10-29Paper
An Alternating Direction Method of Multipliers for Optimal Control Problems Constrained with Elliptic Equations2021-10-12Paper
An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation2021-10-12Paper
Primal-dual active set method for pricing American better-of option on two assets2020-10-20Paper
An efficient numerical method for the valuation of American multi-asset options2020-10-15Paper
Efficient numerical methods for elliptic optimal control problems with random coefficient2020-07-14Paper
Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options2018-07-18Paper
Primal-Dual Active Set Method for American Lookback Put Option Pricing2018-02-27Paper
https://portal.mardi4nfdi.de/entity/Q29873852017-05-17Paper
https://portal.mardi4nfdi.de/entity/Q52572772015-06-29Paper
Front-fixing FEMs for the pricing of American options based on a PML technique2015-05-13Paper
https://portal.mardi4nfdi.de/entity/Q54993382015-02-11Paper
https://portal.mardi4nfdi.de/entity/Q54981132015-02-11Paper
Spectral methods for the Black-Scholes model of American options valuation2014-11-03Paper
Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays2013-12-23Paper

Research outcomes over time

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