SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Augmented Lagrangian method applied to American option pricing · Study

ArticleShelves

ArticleAugmented Lagrangian method applied to American option pricing

Xiaoqi Yang2006

Article2006

Augmented Lagrangian method applied to American option pricing

Xiaoqi Yang · Kok Lay Teo

19 citations·0/0 files stored·Automatica

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Optimization and Variational Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 19 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1998Methods of Mathematical Finance 1998Methods of Mathematical Finance 1994Option pricing: Mathematical models and computation 2000Pricing Financial Instruments: The Finite Difference Method 1992The Pricing of the American Option 2002Quadratic Convergence for Valuing American Options Using a Penalty Method 1998Penalty methods for American options with stochastic volatility

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Finite-Element Methodschapter · 7 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2007Pricing American Options Using LU Decompositionarticle · 6 shared references 2011Convergenceproperty of an interior penalty approach to pricing American optionarticle · 6 shared references 2009A robust finite difference scheme for pricing American put options with Singularity-Separating methodarticle · 6 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 5 shared references

Details

Year2006

Typearticle

Published2006-03-21

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.automatica.2006.01.017

openalex_workW1966909302

Links

Imported from OpenAlex (CC0) — nothing here is generated.