An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
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Cites work
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- scientific article; zbMATH DE number 3381785 (Why is no real title available?)
- A Class of Active-Set Newton Methods for Mixed ComplementarityProblems
- A finite difference method for pricing European and American options under a geometric Lévy process
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A numerical method for pricing European options with proportional transaction costs
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A penalty method for a finite-dimensional obstacle problem with derivative constraints
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- A penalty method for a mixed nonlinear complementarity problem
- A power penalty approach to a nonlinear complementarity problem
- A power penalty method for a bounded nonlinear complementarity problem
- A power penalty method for linear complementarity problems
- A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Computation of reservation prices of options with proportional transaction costs
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Convergence property of an interior penalty approach to pricing American option
- Engineering and Economic Applications of Complementarity Problems
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Global optimization techniques for mixed complementarity problems
- Interior Methods for Nonlinear Optimization
- Interior-point methods for nonlinear complementarity problems
- On stationary points of the implicit Lagrangian for nonlinear complementarity problems
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing American bond options using a penalty method
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
- Smoothing Newton and quasi-Newton methods for mixed complementarity problems
- Tools for computational finance.
Cited in
(11)- A 2nd-order FDM for a 2D fractional Black-Scholes equation
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- Numerical solution of an obstacle problem with interval coefficients
- Penalty method for indifference pricing of American option in a liquidity switching market
- Pricing European call options with interval-valued volatility and interest rate
- Solving American option optimal control problems in financial markets using a novel neural network
- Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
- Penalized NCP-functions for nonlinear complementarity problems and a scaling algorithm
- The Order-p Tensor Linear Complementarity Problem for Images Deblurring
- Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
- Simultaneous distributed-boundary optimal control problems driven by nonlinear complementarity systems
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