scientific article; zbMATH DE number 6136940
From MaRDI portal
Publication:4905484
zbMATH Open1260.91260MaRDI QIDQ4905484FDOQ4905484
Authors: Sajid Memon 
Publication date: 18 February 2013
Title of this publication is not available (Why is that?)
Recommendations
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- scientific article; zbMATH DE number 1894311
- A finite volume element method for American options
- A Front-Fixing Finite Element Method for the Valuation of American Options
- An inverse finite element method for pricing American options
- An efficient finite element method for pricing American multi-asset put options
- Finite element and discontinuous Galerkin methods with perfect matched layers for American options
- Finite element method for valuation of American lookback options
- Penalty methods for the numerical solution of American multi-asset option problems
- scientific article; zbMATH DE number 6831341
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Cited In (24)
- American option pricing problem transformed on finite interval
- A finite volume element method for American options
- Title not available (Why is that?)
- Numerical treatment of the Black-Scholes variational inequality in computational finance.
- Real options pricing by the finite element method
- Title not available (Why is that?)
- A two-grid penalty method for American options
- A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
- Title not available (Why is that?)
- An RBF-FD method for pricing American options under jump-diffusion models
- Title not available (Why is that?)
- An inverse finite element method for pricing American options
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- The randomized American option as a classical solution to the penalized problem
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- Title not available (Why is that?)
- Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
- Modified barrier penalization method for pricing American options
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- A Model for Optimal Human Navigation with Stochastic Effects
- A penalty method for American multi-asset option problems
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Title not available (Why is that?)
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4905484)
