A power penalty approach to a discretized obstacle problem with nonlinear constraints
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Publication:2329667
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Cites work
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- 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 method for pricing European options with proportional transaction costs
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A penalty approximation method for a semilinear parabolic double obstacle problem
- A penalty method for a finite-dimensional obstacle problem with derivative constraints
- 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
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
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- scientific article; zbMATH DE number 3682527 (Why is no real title available?)
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Power penalty method for a linear complementarity problem arising from American option valuation
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Cited in
(6)- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- A new semismooth Newton method for solving finite-dimensional quasi-variational inequalities
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- A penalty approximation method for a semilinear parabolic double obstacle problem
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A penalty method for a finite-dimensional obstacle problem with derivative constraints
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