Pages that link to "Item:Q4294297"

The following pages link to Some mathematical results in the pricing of American options (Q4294297):

Displaying 50 items.

• A hybrid finite difference scheme for pricing Asian options (Q298703) (← links)
• Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736) (← links)
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
• A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864) (← links)
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation (Q344266) (← links)
• Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548) (← links)
• Ratchet consumption over finite and infinite planning horizons (Q462862) (← links)
• Asymptotic analysis of shout options close to expiry (Q469983) (← links)
• A predictor-corrector approach for pricing American options under the finite moment log-stable model (Q493985) (← links)
• A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty (Q507921) (← links)
• A general preconditioner for linear complementarity problem with an \(M\)-matrix (Q507968) (← links)
• A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200) (← links)
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966) (← links)
• A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets (Q618451) (← links)
• Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
• A simple heuristic for valuing certain perpetual American-type securities (Q699352) (← links)
• A numerical analysis of variational valuation techniques for derivative securities (Q702595) (← links)
• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models (Q819096) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• A generalized complementarity approach to solving real option problems (Q844678) (← links)
• Optimal multiple stopping models of reload options and shout options (Q844713) (← links)
• Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions (Q875530) (← links)
• An upper bound on the value of an infinite American call option on difference and sum of two assets (Q895451) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
• Installment options close to expiry (Q937477) (← links)
• Variational inequalities applied to option market problem (Q945263) (← links)
• Convergence analysis of a monotonic penalty method for American option pricing (Q950483) (← links)
• Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) (← links)
• Penalty methods for the numerical solution of American multi-asset option problems (Q952073) (← links)
• Adaptive \(\theta \)-methods for pricing American options (Q952094) (← links)
• Analysis of an uncertain volatility model (Q955456) (← links)
• Calibration of a path-dependent volatility model: empirical tests (Q961413) (← links)
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
• The multigrid algorithm applied to a degenerate equation: A convergence analysis (Q1004017) (← links)
• Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
• A PDE approach to regularity of solutions to finite horizon optimal switching problems (Q1044477) (← links)
• An upwind approach for an American and European option pricing model (Q1294336) (← links)
• Penalty methods for American options with stochastic volatility (Q1298615) (← links)
• Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme. (Q1399766) (← links)
• Accurate numerical solution of initial value problems for the time dependent convection-diffusion equation (Q1431851) (← links)
• Solving variational inequalities with a quadratic cut method: a primal-dual, Jacobian-free approach (Q1433167) (← links)
• PDE methods for pricing barrier options (Q1583144) (← links)
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities (Q1591779) (← links)
• A quasi-radial basis functions method for American options pricing. (Q1609116) (← links)
• Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383) (← links)
• Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function (Q1627819) (← links)
• Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry (Q1656371) (← links)
• Cubic spline method for a generalized Black-Scholes equation (Q1718497) (← links)
• The pricing of Asian options in uncertain volatility model (Q1719127) (← links)