Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
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Publication:2190271
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Cites work
- scientific article; zbMATH DE number 5145313 (Why is no real title available?)
- scientific article; zbMATH DE number 3751685 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 3215568 (Why is no real title available?)
- A Class of Active-Set Newton Methods for Mixed ComplementarityProblems
- A class of smoothing functions for nonlinear and mixed complementarity problems
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- A power penalty approach to a nonlinear complementarity problem
- A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- 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
- Evaluating leases with complex operating options
- 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
- Modeling and computation of water management by real options
- On the numerical solution of nonlinear Black-Scholes equations
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under 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
- Pricing options on investment project expansions under commodity price uncertainty
- Real options pricing by the finite element method
- Regions in the Complex Plane Containing the Eigenvalues of a Matrix
- Smoothing Newton and quasi-Newton methods for mixed complementarity problems
- The pricing of options and corporate liabilities
- Tools for computational finance
Cited in
(6)- A fitted finite volume method for real option valuation of risks in climate change
- Penalty method for indifference pricing of American option in a liquidity switching market
- Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
- DGM for real options valuation: options to change operating scale.
- Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method
- Pricing options on investment project expansions under commodity price uncertainty
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