Pages that link to "Item:Q4698397"
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The following pages link to CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY (Q4698397):
Displaying 50 items.
- Numerical approximation for a portfolio optimization problem under liquidity risk and costs (Q315777) (← links)
- A model-free no-arbitrage price bound for variance options (Q373003) (← links)
- Optimal transportation under controlled stochastic dynamics (Q378799) (← links)
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching (Q461227) (← links)
- Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
- Large deviations estimates for some non-local equations: fast decaying kernels and explicit bounds (Q732589) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs (Q744977) (← links)
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) (← links)
- Convergence of the binomial tree method for Asian options in jump-diffusion models (Q874917) (← links)
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
- Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) (← links)
- Infinite reload options: pricing and analysis (Q952078) (← links)
- Sequential quadratic programming method for volatility estimation in option pricing (Q1014041) (← links)
- Relaxation of minimax optimal control problems with infinite horizon (Q1291817) (← links)
- Optimal investment strategies for participating contracts (Q1681198) (← links)
- Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance (Q1725004) (← links)
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff (Q1770204) (← links)
- Numerical schemes for investment models with singular transactions (Q1890892) (← links)
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation (Q1933924) (← links)
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing (Q2006103) (← links)
- Indifference pricing under SAHARA utility (Q2223856) (← links)
- Dynamic programming and error estimates for stochastic control problems with maximum cost (Q2340992) (← links)
- Convergence of the trinomial tree method for pricing European/American options (Q2381353) (← links)
- Numerical analysis of the model of image processing with time-delay regularization (Q2485635) (← links)
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719) (← links)
- Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams (Q2568628) (← links)
- An efficient numerical method for the robust optimal investment problem with general utility functions (Q2691508) (← links)
- Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation (Q2804501) (← links)
- Large deviation estimates for some nonlocal equations. General bounds and applications (Q2846971) (← links)
- COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (Q2882690) (← links)
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (Q3005845) (← links)
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES (Q3043609) (← links)
- Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation (Q3161137) (← links)
- The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model (Q3182399) (← links)
- On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation (Q3423712) (← links)
- Finite volume methods for the valuation of American options (Q3428051) (← links)
- Optimal soaring via Hamilton-Jacobi-Bellman equations (Q3459281) (← links)
- Numerical Methods for Non-Linear Black–Scholes Equations (Q3565099) (← links)
- Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)
- ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING (Q4653566) (← links)
- Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost (Q4684783) (← links)
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS (Q4798871) (← links)
- NUMERICAL ANALYSIS OF A MINIMAX OPTIMAL CONTROL PROBLEM WITH AN ADDITIVE FINAL COST (Q4798959) (← links)
- OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE (Q4906544) (← links)
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation (Q5315457) (← links)
- Efficient pricing of swing options in Lévy-driven models (Q5397406) (← links)
- NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS (Q5483445) (← links)
- A Numerical Scheme for the Quantile Hedging Problem (Q5853613) (← links)
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps (Q6049312) (← links)
