Pages that link to "Item:Q1039367"

The following pages link to Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367):

Displaying 24 items.

• Optimal investment in research and development under uncertainty (Q255103) (← links)
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
• Pricing American bond options using a penalty method (Q445080) (← links)
• A penalty approximation method for a semilinear parabolic double obstacle problem (Q480830) (← links)
• A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
• Modified domain decomposition method for Hamilton-Jacobi-Bellman equations (Q616035) (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
• A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
• Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
• Utility-indifference pricing of European options with proportional transaction costs (Q2033077) (← links)
• An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints (Q2200796) (← links)
• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) (← links)
• Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
• A power penalty approach to a discretized obstacle problem with nonlinear constraints (Q2329667) (← links)
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
• Pricing options on investment project expansions under commodity price uncertainty (Q2423283) (← links)
• A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654) (← links)
• A penalty-based method from reconstructing smooth local volatility surface from American options (Q2514677) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• A power penalty method for a bounded nonlinear complementarity problem (Q3453408) (← links)
• Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method (Q5156967) (← links)
• A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation (Q5274927) (← links)