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George Labahn · Study

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George Labahn

9 works· latest 2019· 1 institutionscluster: provisionalORCID 0009-0005-8977-4890

h-index9

i109

Citations751

Works here9

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Most cited in this library

A penalty method for American options with jump diffusion processes2004 · 202 citations
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance2007 · 180 citations
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion2005 · 102 citations
Methods for Pricing American Options under Regime Switching2011 · 79 citations
A numerical PDE approach for pricing callable bonds2001 · 47 citations

Works

9 shown

ε-monotone Fourier methods for optimal stochastic control in finance

The Journal of Computational Finance·2019·2 authors·Open access

31citations

Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities

SIAM Journal on Control and Optimization·2018·3 authors·Open access

30citations

Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance

SIAM Journal on Numerical Analysis·2012·2 authors

37citations

Methods for Pricing American Options under Regime Switching

SIAM Journal on Scientific Computing·2011·2 authors

79citations

Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

Applied Mathematical Finance·2009·3 authors

43citations

Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance

The Journal of Computational Finance·2007·2 authors

180citations

A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

SIAM Journal on Scientific Computing·2005·3 authors

102citations

A penalty method for American options with jump diffusion processes

Numerische Mathematik·2004·3 authors

202citations

A numerical PDE approach for pricing callable bonds

Applied Mathematical Finance·2001·4 authors·Open access

47citations