Pricing American bond options using a penalty method
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Cites work
- scientific article; zbMATH DE number 3919744 (Why is no real title available?)
- scientific article; zbMATH DE number 3747703 (Why is no real title available?)
- scientific article; zbMATH DE number 3751685 (Why is no real title available?)
- scientific article; zbMATH DE number 3517582 (Why is no real title available?)
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 1069620 (Why is no real title available?)
- scientific article; zbMATH DE number 2163372 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A computational scheme for uncertain volatility model in option pricing
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A power penalty approach to numerical solutions of two-asset American options
- A semilinear Black and Scholes partial differential equation for valuing American options
- A theory of the term structure of interest rates
- Convergence analysis of a monotonic penalty method for American option pricing
- Discretization of the Black-Scholes operator with a natural left-hand side boundary condition
- Implementing models in quantitative finance: methods and cases
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
- Numerical pricing of American put options on zero-coupon bonds.
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- 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
Cited in
(34)- A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
- A finite difference method for pricing European and American options under a geometric Lévy process
- Modulus methods for pricing American bond option based on finite difference discretization
- A continuous-time model for valuing foreign exchange options
- A 2nd-order FDM for a 2D fractional Black-Scholes equation
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A penalty approach to a discretized double obstacle problem with derivative constraints
- An efficient numerical method for the valuation of American multi-asset options
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- Recent advances in numerical solution of HJB equations arising in option pricing
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- Semi-implicit FEM for the valuation of American options under the Heston model
- American option pricing problem transformed on finite interval
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- A modification of Galerkin's method for option pricing
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- Evaluating American put options on zero-coupon bonds by a penalty method
- Applying a power penalty method to numerically pricing American bond options
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- An efficient computational algorithm for pricing European, barrier and American options
- Convergence analysis of power penalty method for American bond option pricing
- Pricing American bond options using a cubic spline collocation method
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- A direct LU solver for pricing American bond options under Hull-White model
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- A numerical method for pricing European options with proportional transaction costs
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- A power penalty approach to a discretized obstacle problem with nonlinear constraints
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
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