scientific article; zbMATH DE number 1069620
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Publication:4356582
zbMATH Open0898.90015MaRDI QIDQ4356582FDOQ4356582
Authors: Guy Barles 
Publication date: 12 October 1998
Title of this publication is not available (Why is that?)
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- scientific article; zbMATH DE number 4205918
convergenceviscosity solutionsweak solutionsAmerican optionssplitting methodsnonlinear parabolic equationsmonotone schemesAsian optionslookback optionsnonlinear degenerate elliptic equations
Nonlinear elliptic equations (35J60) Reaction-diffusion equations (35K57) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)
Cited In (71)
- Variational Analysis for Options with Stochastic Volatility and Multiple Factors
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- A unified numerical approach for a large class of nonlinear Black-Scholes models
- Low-dimensional partial integro-differential equations for high-dimensional Asian options
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- Computation and analysis for a constrained entropy optimization problem in finance
- Infinite reload options: pricing and analysis
- Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
- Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
- Computation of Delta Greek for Non-linear Models in Mathematical Finance
- A 2nd-order FDM for a 2D fractional Black-Scholes equation
- Indifference pricing under SAHARA utility
- Harnack inequality for a class of Kolmogorov-Fokker-Planck equations in non-divergence form
- A singular differential equation stemming from an optimal control problem in financial economics
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- An ENO-based method for second-order equations and application to the control of dike levels
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Dynamics of solvency risk in life insurance liabilities
- Free boundary and optimal stopping problems for American Asian options
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Dynamic portfolio selection with nonlinear transaction costs
- OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- A splitting numerical scheme for non-linear models of mathematical finance
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- Numerical methods for nonlinear PDEs in finance
- Large-time behavior for obstacle problems for degenerate viscous Hamilton-Jacobi equations
- Penalty and penalty-like methods for nonlinear HJB PDEs
- American options on assets with dividends near expiry
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- An efficient numerical method for the robust optimal investment problem with general utility functions
- Pricing American bond options using a penalty method
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Splitting methods for Hamilton‐Jacobi equations
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
- Stochastic control model for R\&D race in a mixed duopoly with spillovers and knowledge stocks
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams
- Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- Power penalty method for solving HJB equations arising from finance
- A finite difference method for pricing European and American options under a geometric Lévy process
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- A computational scheme for uncertain volatility model in option pricing
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Augmented Lagrangian method applied to American option pricing
- The PDEs and numerical scheme for derivatives under uncertainty volatility
- A numerical method for pricing European options with proportional transaction costs
- Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
- A penalty method for American options with jump diffusion processes
- Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method
- A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.
- Power penalty method for a linear complementarity problem arising from American option valuation
- A unified approach to portfolio optimization with linear transaction costs
- A splitting method for fully nonlinear degenerate parabolic PDEs
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE
- The pricing of Asian options in uncertain volatility model
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