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Search: subject:"Splitting method"
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Theorie
9
Theory
9
Mathematical programming
8
Mathematische Optimierung
8
Option pricing theory
7
Optionspreistheorie
7
Splitting method
5
Algorithm
3
Algorithmus
3
Black-Scholes model
3
Black-Scholes-Modell
3
Operator splitting method
3
Option trading
3
Optionsgeschäft
3
Stochastic process
3
Stochastischer Prozess
3
operator splitting method
3
Arbitrary perturbations
2
Derivat
2
Derivative
2
HJB equation
2
Implicit convex optimization
2
Incomplete market
2
Peaceman-Rachford splitting method
2
criterion space search algorithm
2
dynamic/static hedge
2
illiquid option
2
indifference pricing
2
linear complementarity problem
2
Absorbing boundary condition
1
Alternating direction method of multipliers
1
American option pricing
1
Analysis
1
Analysis of variance
1
Anleihe
1
Arbitrary mappings
1
Artificial bee colony
1
Auction
1
Auction theory
1
Augmented Lagrangian method
1
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3
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Article
27
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19
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19
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English
19
Undetermined
8
Author
All
Konnov, Igor V.
3
Charkhgard, Hadi
2
Lo, C. F.
2
Yuan, Xiaoming
2
Allevi, Elisabetta
1
Amiri, Amirhossein
1
Arfaoui, Hassen
1
Bashiri, Mahdi
1
Bhuruth, Muddun
1
Boland, Natashia
1
Cai, Li
1
Cai, Xingju
1
Cheng, Xiaoliang
1
Choi, Yongho
1
Coonjobeharry, Radha Krishn
1
Dang van Hieu
1
Das, A. K.
1
Deepmala
1
Duan, Qibin
1
Dutta, A.
1
Esmaeili, Somayeh
1
Gnudi, Adriana
1
Graham, Naomi
1
Gudkov, Nikolay
1
HALPERIN, IGOR
1
Halperin, Igor
1
Han, Deren
1
He, Y. W.
1
Hu, Hao
1
Hwang, Hyeongseok
1
IKONEN, SAMULI
1
ITKIN, ANDREY
1
Ignatieva, Ekaterina
1
Im, Jiyoung
1
Itkin, Andrey
1
Jeong, Darae
1
Jiang, Jiao-Jiao
1
Jiang, Yaning
1
Jo, Jaehyun
1
Kharrat, Mohamed
1
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Computational Optimization and Applications
2
European journal of operational research : EJOR
2
INFORMS journal on computing : JOC
2
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
2
International Journal of Theoretical and Applied Finance (IJTAF)
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
Computational Statistics
1
Computational economics
1
Computers & operations research : and their applications to problems of world concern ; an international journal
1
Journal of mathematical finance
1
Mathematical Methods of Operations Research
1
Mathematical methods of operations research : ZOR
1
Mathematics and Computers in Simulation (MATCOM)
1
Mathematics of operations research
1
Networks and spatial economics : a journal of infrastructure modeling and computation
1
Opsearch : journal of the Operational Research Society of India
1
Physica A: Statistical Mechanics and its Applications
1
Quantitative finance
1
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ECONIS (ZBW)
19
RePEc
8
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1
On solving MAX-SAT using sum of squares
Sinjorgo, Lennart
;
Sotirov, Renata
- In:
INFORMS journal on computing : JOC ; charting new …
36
(
2024
)
2
,
pp. 417-433
Persistent link: https://www.econbiz.de/10014532298
Saved in:
2
A new stabled relaxation method for pricing European options under the time-fractional vasicek model
Kharrat, Mohamed
;
Arfaoui, Hassen
- In:
Computational economics
61
(
2023
)
4
,
pp. 1745-1763
Persistent link: https://www.econbiz.de/10014327133
Saved in:
3
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:
4
More on matrix splitting modulus-based iterative methods for solving linear complementarity problem
Kumar, Bharat
;
Deepmala
;
Dutta, A.
;
Das, A. K.
- In:
Opsearch : journal of the Operational Research Society …
60
(
2023
)
2
,
pp. 1003-1020
Persistent link: https://www.econbiz.de/10014383664
Saved in:
5
An exact criterion space search algorithm for a bi-objective blood collection problem
Esmaeili, Somayeh
;
Bashiri, Mahdi
;
Amiri, Amirhossein
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 210-232
Persistent link: https://www.econbiz.de/10014335774
Saved in:
6
A restricted dual peaceman-rachford
splitting
method
for a strengthened DNN relaxation for QAP
Graham, Naomi
;
Hu, Hao
;
Im, Jiyoung
;
Li, Xinxin
; …
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
4
,
pp. 2125-2143
Persistent link: https://www.econbiz.de/10013362702
Saved in:
7
An efficient partial parallel method with scaling step size strategy for three-block convex optimization problems
Jiang, Yaning
;
Han, Deren
;
Cai, Xingju
- In:
Mathematical methods of operations research : ZOR
96
(
2022
)
3
,
pp. 383-419
Persistent link: https://www.econbiz.de/10013455096
Saved in:
8
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:
9
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
Saved in:
10
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise
splitt...
Gudkov, Nikolay
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
Saved in:
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