4.2 Article

A Fixed Point Method for the Linear Complementarity Problem Arising from American Option Pricing

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Mathematics, Applied

A fast high-order finite difference algorithm for pricing American options

D. Y. Tangman et al.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2008)

Article Business, Finance

A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK-SCHOLES EQUATION OF AMERICAN OPTIONS

Matthias Ehrhardt et al.

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (2008)

Article Mathematics, Applied

Efficient numerical methods for pricing American options under stochastic volatility

Samuli Ikonen et al.

NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS (2008)

Article Mathematics, Applied

Compact finite difference method for American option pricing

Jichao Zhao et al.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2007)

Article Business, Finance

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

Samuli Ikonen et al.

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (2007)

Article Operations Research & Management Science

Power penalty method for a linear complementarity problem arising from American option valuation

S. Wang et al.

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS (2006)

Article Mathematics, Applied

Operator splitting methods for American option pricing

S Ikonen et al.

APPLIED MATHEMATICS LETTERS (2004)

Article Mathematics, Applied

Improving projected successive overrelaxation method for linear complementarity problems

MD Koulisianis et al.

APPLIED NUMERICAL MATHEMATICS (2003)

Article Mathematics, Applied

A fast numerical method for the Black-Scholes equation of American options

H Han et al.

SIAM JOURNAL ON NUMERICAL ANALYSIS (2003)