Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
finite element methodlinear complementarity problemprimal-dual active-set methodAmerican exchange option
Numerical optimization and variational techniques (65K10) 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) A priori estimates in context of PDEs (35B45) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Theoretical approximation in context of PDEs (35A35)
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- Primal-dual active set method for pricing American better-of option on two assets
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- Primal-dual active set algorithm for valuating American options under regime switching
- scientific article; zbMATH DE number 3747703 (Why is no real title available?)
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- A Front-Fixing Finite Element Method for the Valuation of American Options
- A class of projection and contraction methods for monotone variational inequalities
- A fast numerical method for the valuation of American lookback put options
- A new kind of parallel finite difference method for the quanto option pricing model
- A simple numerical method for pricing an American put option
- An \(L^ 2\)-error estimate for an approximation of the solution of a parabolic variational inequality
- Application of the local radial basis function-based finite difference method for pricing American options
- Approximate option pricing
- Approximation in the finite element method
- Augmented Lagrangian methods for nonsmooth, convex optimization in Hilbert spaces
- Calibration of the double Heston model and an analytical formula in pricing American put option
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Essentially exact asymptotic solutions for Asian derivatives
- European rainbow option values under the two-asset Merton jump-diffusion model
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Inexact semismooth Newton methods for large-scale complementarity problems
- Monte Carlo valuation of American options
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Primal-Dual Strategy for Constrained Optimal Control Problems
- Primal-dual active set method for pricing American better-of option on two assets
- Primal-dual active set strategy for large scale optimization of cardiac defibrillation
- Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\)
- The Primal-Dual Active Set Strategy as a Semismooth Newton Method
- The generalized perpetual American exchange-option problem
- The pricing of options and corporate liabilities
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