Search Results - subject:"Operator Splitting"

Pricing credit default swaps under multifactor reduced-form models : a differential quadrature approach

Andreoli, Alessandro; Ballestra, Luca Vincenzo; … - In: Computational economics 51 (2018) 3, pp. 379-406

Persistent link: https://www.econbiz.de/10011963685

Decomposition methods for a spatial model for long-term energy pricing problem

Mahey, Philippe; Koko, Jonas; Lenoir, Arnaud - In: Mathematical methods of operations research 85 (2017) 1, pp. 137-153

Persistent link: https://www.econbiz.de/10011714355

A survey on operator splitting and decomposition of convex programs

Lenoir, Arnaud; Mahey, Philippe - In: RAIRO / Operations research 51 (2017) 1, pp. 17-41

Persistent link: https://www.econbiz.de/10011771376

A practical finite difference method for the three-dimensional Black-Scholes equation

Kim, Junseok; Kim, Taekkeun; Jo, Jaehyun; Choi, Yongho; … - In: European journal of operational research : EJOR 252 (2016) 1, pp. 183-190

Persistent link: https://www.econbiz.de/10011449164

A two-factor jump-diffusion model for pricing convertible bonds with default risk

Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-26

Persistent link: https://www.econbiz.de/10011572351

A simple generalisation of Kirk's approximation for multi-asset spread options by the Lie-Trotter operator splitting method

Lo, Chi-fai - In: Journal of mathematical finance 4 (2014) 3, pp. 178-187

Persistent link: https://www.econbiz.de/10010400107

An ADM-based splitting method for separable convex programming

Han, Deren; Yuan, Xiaoming; Zhang, Wenxing; Cai, Xingju - In: Computational Optimization and Applications 54 (2013) 2, pp. 343-369

We consider the convex minimization problem with linear constraints and a block-separable objective function which is represented as the sum of three functions without coupled variables. To solve this model, it is empirically effective to extend straightforwardly the alternating direction method...

Persistent link: https://www.econbiz.de/10010896578

Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Journal of Economic Dynamics and Control 37 (2013) 6, pp. 1142-1167

operator splitting scheme, a new RBF method is developed in which the inversion of large system matrices is avoided. The method …

Persistent link: https://www.econbiz.de/10010871037

PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING

HALPERIN, IGOR; ITKIN, ANDREY - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350033-1

We study the problem of the optimal pricing and hedging of a European option written on an illiquid asset Z using a set of proxies: a liquid asset S, and N liquid European options Pi, each written on a liquid asset Yi, i = 1, N. We assume that the S-hedge is dynamic while the multi-name Y-hedge...

Persistent link: https://www.econbiz.de/10010883220

Bregman operator splitting with variable stepsize for total variation image reconstruction

Chen, Yunmei; Hager, William; Yashtini, Maryam; Ye, Xiaojing - In: Computational Optimization and Applications 54 (2013) 2, pp. 317-342

This paper develops a Bregman operator splitting algorithm with variable stepsize (BOSVS) for solving problems of the …> </InlineEquation>, where ϕ may be nonsmooth. The original Bregman Operator Splitting (BOS) algorithm employed a fixed stepsize, while … is compared with other operator splitting schemes using partially parallel magnetic resonance image reconstruction …

Persistent link: https://www.econbiz.de/10010998270