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  • Search: subject:"Operator splitting methods"
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Year of publication
Subject
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EU countries 2 EU-Staaten 2 European options 2 Kou model 2 Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 operator splitting methods 2 partial integro-differential equations 2 stability 2 Alternating direction method of multipliers 1 Block-separable 1 Convex minimization 1 Global convergence 1 Operator splitting methods 1 conver-gence 1 convergence 1
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Online availability
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Undetermined 3
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Hout, Karel J. in 't 2 Lamotte, Pieter 2 Cai, Xingju 1 Han, Deren 1 Yuan, Xiaoming 1 Zhang, Wenxing 1
Published in...
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Computational Optimization and Applications 1 The journal of computational finance 1 The journal of computational finance : JFC 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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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://ebvufind01.dmz1.zbw.eu/10014342075
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Cover Image
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://ebvufind01.dmz1.zbw.eu/10014486917
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Cover Image
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://ebvufind01.dmz1.zbw.eu/10010896578
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