Primal-Dual Active Set Method for American Lookback Put Option Pricing

Publisher： Cambridge University Press

E-ISSN： 2079-7370|7|3|603-614

ISSN： 2079-7362

Source： East Asian Journal on Applied Mathematics, Vol.7, Iss.3, 2017-09, pp. : 603-614

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Mesh independence and fast local convergence of a primal-dual active-set method for mixed control-state constrained elliptic control problems

By  

ANZIAM Journal, Vol. 49, Iss. 1, 2007-07 ,pp. : 1-38

Cambridge University Press

Access to resources Recommend Favorite

A Stochastic Approximation Algorithm for American Lookback Put Options

By Zhang Zhenhua  

Stochastic Analysis and Applications, Vol. 29, Iss. 2, 2011-03 ,pp. : 332-351

Taylor & Francis Ltd

Access to resources Recommend Favorite

Primal-dual sensitivity analysis of active sets for mixed boundary-value contact problems

By Kovtunenko Victor  

Journal of Engineering Mathematics, Vol. 55, Iss. 1-4, 2006-08 ,pp. : 151-166

Springer Publishing Company

Access to resources Recommend Favorite

On systems of extended primal-dual variational inequalities

By Konnov I.V.  

Applicable Analysis, Vol. 91, Iss. 10, 2012-10 ,pp. : 1881-1890

Taylor & Francis Ltd

Access to resources Recommend Favorite

Convergence of a fitted finite volume method for the penalized Black–Scholes equation governing European and American Option pricing

By Angermann Lutz   Wang Song  

Numerische Mathematik, Vol. 106, Iss. 1, 2007-03 ,pp. : 1-40

Springer Publishing Company

Access to resources Recommend Favorite