DOI10.3934/jimo.2013.9.365zbMath1276.49016OpenAlexW2323282084WikidataQ59416167 ScholiaQ59416167MaRDI QIDQ380461
Wen Li, Songgui Wang
Publication date: 14 November 2013
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2013.9.365
A power penalty method for a bounded nonlinear complementarity problem,
A penalty method for a fractional order parabolic variational inequality governing American put option valuation,
Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme,
An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering,
Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing,
Numerical solution of an obstacle problem with interval coefficients,
A numerical scheme for pricing American options with transaction costs under a jump diffusion process,
On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem,
Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method,
Pricing options on investment project expansions under commodity price uncertainty,
Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs,
An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints,
A power penalty method for the general traffic assignment problem with elastic demand,
An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs,
Numerical solution of fractional optimal control,
A penalty approximation method for a semilinear parabolic double obstacle problem,
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing,
On power penalty methods for linear complementarity problems arising from American option pricing,
A penalty approach to a discretized double obstacle problem with derivative constraints,
Optimal expansion timing decisions in multi-stage PPP projects involving dedicated asset and government subsidies,
Numerical solution for a parabolic obstacle problem with nonsmooth initial data,
A finite difference method for pricing European and American options under a geometric Lévy process,
A numerical method for pricing European options with proportional transaction costs,
An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem,
A penalty method for a finite-dimensional obstacle problem with derivative constraints,
A power penalty approach to a discretized obstacle problem with nonlinear constraints,
A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation
