An efficient and provable sequential quadratic programming method for American and swing option pricing
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Publication:6586252
Cites work
- scientific article; zbMATH DE number 3852340 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
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- American options under stochastic volatility
- American step options
- An Algorithm for Linear Complementarity and its Application in American Options Pricing
- An Error Estimate for the Truncation Method for the Solution of Parabolic Obstacle Variational Inequalities
- An iterative scheme for variational inequalities
- CTMC integral equation method for American options under stochastic local volatility models
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- Derivative securities and difference methods
- Early exercise boundaries for American-style knock-out options
- Efficient numerical methods for pricing American options under stochastic volatility
- Estimations of constants in inverse inequalities for finite element functions
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- Fast numerical valuation of American, exotic and complex options
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Finite element solution of diffusion problems with irregular data
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Intensity-based framework and penalty formulation of optimal stopping problems
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Operator splitting methods for American option pricing.
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- Option pricing when underlying stock returns are discontinuous
- Penalty method for indifference pricing of American option in a liquidity switching market
- Pricing American-style securities using simulation
- Pricing and exercising American options: an asymptotic expansion approach
- Randomization and the American put
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- The valuation of American call options on the minimum of two dividend-paying assets
- The valuation of American options for a class of diffusion processes
- Tools for computational finance
- Variational Formulation of American Option Prices in the Heston Model
- Variational inequalities and the pricing of American options
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