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Search: subject:"Operator Splitting"
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Option pricing theory
12
Optionspreistheorie
12
Operator splitting
9
Option trading
9
Optionsgeschäft
9
Mathematical programming
6
Mathematische Optimierung
6
Black-Scholes model
5
Black-Scholes-Modell
5
Stochastic process
5
Stochastischer Prozess
5
Theorie
5
Theory
5
HJB equation
4
Option pricing
4
Algorithm
3
Algorithmus
3
Black-Scholes
3
Derivat
3
Derivative
3
Operator Splitting
3
Operator splitting method
3
Radial basis function
3
operator splitting method
3
Alternating direction method of multipliers
2
American option
2
Barrier option
2
Contraction
2
Credit risk
2
Decomposition method
2
Dekompositionsverfahren
2
EU countries
2
EU-Staaten
2
European options
2
Fixed Point
2
Heston
2
Implicit Explicit
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Incomplete market
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Ballestra, Luca Vincenzo
3
Pacelli, Graziella
3
Hessing, Jean-Claude
2
Hout, Karel J. in 't
2
Lamotte, Pieter
2
Lange, Rutger-Jan
2
Lenoir, Arnaud
2
Lo, C. F.
2
Mahey, Philippe
2
Ralph, Daniel
2
Abreu, E.
1
Amjady, Nima
1
Andreoli, Alessandro
1
Bhardwaj, Akanksha
1
Bhuruth, Muddun
1
Blom, J.G.
1
Bùi, Minh N.
1
Cai, Li
1
Cai, Xingju
1
Chen, Yunmei
1
Cheng, Xiaoliang
1
Choi, Yongho
1
Combettes, Patrick L.
1
Coonjobeharry, Radha Krishn
1
Dang van Hieu
1
Dao, Minh N.
1
Douglas, J.
1
Fereshtian, Ali
1
Furtado, F.
1
HALPERIN, IGOR
1
Hager, William
1
Halperin, Igor
1
Han, Deren
1
He, Y. W.
1
Hundsdorfer, W.
1
Hwang, Hyeongseok
1
ITKIN, ANDREY
1
Itkin, Andrey
1
Jeong, Darae
1
Jo, Jaehyun
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Computational economics
3
Mathematics and Computers in Simulation (MATCOM)
3
Computational Optimization and Applications
2
European journal of operational research : EJOR
2
International journal of financial engineering
2
International journal of theoretical and applied finance
2
4OR : quarterly journal of the Belgian, French and Italian Operations Research Societies
1
Discussion paper / Tinbergen Institute
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
Journal of Economic Dynamics and Control
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Journal of economic dynamics & control
1
Journal of mathematical finance
1
Mathematical methods of operations research
1
Mathematics of operations research
1
Physica A: Statistical Mechanics and its Applications
1
RAIRO
1
The journal of computational finance
1
The journal of computational finance : JFC
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ECONIS (ZBW)
18
RePEc
8
BASE
1
EconStor
1
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date (oldest first)
1
A proximal splitting algorithm for generalized DC programming with applications in signal recovery
Tan Nhat Pham
;
Dao, Minh N.
;
Amjady, Nima
;
Shah, …
- In:
European journal of operational research : EJOR
326
(
2025
)
1
,
pp. 42-53
Persistent link: https://www.econbiz.de/10015433347
Saved in:
2
Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude
;
Lange, Rutger-Jan
;
Ralph, Daniel
-
2022
operator-splitting
method for which we prove convergence. We also highlight a connection with linear complementarity problems …
Persistent link: https://www.econbiz.de/10013356463
Saved in:
3
Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude
;
Lange, Rutger-Jan
;
Ralph, Daniel
-
2022
convergence bounds. For jump-diffusion processes, dense matrix factorisation may be avoided by using a suitable
operator-splitting
…
Persistent link: https://www.econbiz.de/10012817150
Saved in:
4
Pricing options on a mean-reverting asset by the analytical
operator
splitting
method
Lo, C. F.
;
He, Y. W.
- In:
International journal of financial engineering
9
(
2022
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10013367498
Saved in:
5
Operator
splitting
method to solve the linear complementarity problem for pricing American option : an approximation of error
Yadav, Deepak Kumar
;
Bhardwaj, Akanksha
;
Kumar, Alpesh
- In:
Computational economics
64
(
2024
)
6
,
pp. 3353-3379
Persistent link: https://www.econbiz.de/10015144238
Saved in:
6
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014486917
Saved in:
7
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
8
Multivariate monotone inclusions in saddle form
Bùi, Minh N.
;
Combettes, Patrick L.
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 1082-1109
Persistent link: https://www.econbiz.de/10013365053
Saved in:
9
Modified forward-backward splitting method for variational inclusions
Dang van Hieu
;
Pham Ky Anh
;
Le Dung Muu
- In:
4OR : quarterly journal of the Belgian, French and …
19
(
2021
)
1
,
pp. 127-151
Persistent link: https://www.econbiz.de/10012495065
Saved in:
10
A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.
;
Zheng, X. F.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
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