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Augmented Lagrangian method applied to American option pricing
15 references·0 citing·32 second hop
Augmented Lagrangian method applied to American option pricing (2006)Augmented Lagrangian method applied to Am…Tools for Computational Finance (2012)Tools for Computational Finan…Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation (2006)Power Penalty Method for a Li…Tools for Computational Finance (2004)Tools for Computational Finan…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…Optimal Financing of a Corporation Subject To Random Returns (2002)Optimal Financing of a Corpor…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Pricing American Stock Options by Linear Programming (1999)Pricing American Stock Option…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …Option pricing and linear complementarity (1998)Option pricing and linear com…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…An upwind numerical approach for an American and European option pricing model (1998)An upwind numerical approach …Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …The Pricing of the American Option (1992)The Pricing of the American O…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Option pricing: A simplified approach (1979)A Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities (2006)Optimal portfolios with regime switching and value-at-risk constraint (2010)A penalty method for a fractional order parabolic variational inequality governing American put option valuation (2013)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)A penalty method for American options with jump diffusion processes (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)“Options, Futures, and Other Derivatives” (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Measuring Market Risk (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Arbitrage Theory in Continuous Time (1998)Portfolio management with heuristic optimization (2005)Numerical pricing of options using high-order compact finite difference schemes (2007)On the numerical solution of nonlinear Black–Scholes equations (2008)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1998Methods of Mathematical Finance2,315 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method479 cited
  • 1992The Pricing of the American Option350 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2012Tools for Computational Finance220 cited
  • 2006Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation121 cited
  • 1998Option pricing and linear complementarity95 cited
  • 1998An upwind numerical approach for an American and European option pricing model85 cited
  • 2002Optimal Financing of a Corporation Subject To Random Returns80 cited
  • 1999Pricing American Stock Options by Linear Programming66 cited
  • 2004Tools for Computational Finance51 cited

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