EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Splitting method"
Narrow search

Narrow search

Year of publication
Subject
All
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
more ... less ...
Online availability
All
Undetermined 21 Free 3
Type of publication
All
Article 27
Type of publication (narrower categories)
All
Article in journal 19 Aufsatz in Zeitschrift 19
Language
All
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
more ... less ...
Published in...
All
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
more ... less ...
Source
All
ECONIS (ZBW) 19 RePEc 8
Showing 21 - 27 of 27
Cover Image
Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17
Persistent link: https://www.econbiz.de/10010233264
Saved in:
Cover Image
An inexact parallel splitting augmented Lagrangian method for monotone variational inequalities with separable structures
Tao, Min; Yuan, Xiaoming - In: Computational Optimization and Applications 52 (2012) 2, pp. 439-461
Persistent link: https://www.econbiz.de/10010896510
Saved in:
Cover Image
Numerical solution to coupled nonlinear Schrödinger equations on unbounded domains
Zhou, Shenggao; Cheng, Xiaoliang - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 12, pp. 2362-2373
The numerical simulation of coupled nonlinear Schrödinger equations on unbounded domains is considered in this paper. By using the operator splitting technique, the original problem is decomposed into linear and nonlinear subproblems in a small time step. The linear subproblem turns out to be...
Persistent link: https://www.econbiz.de/10011050642
Saved in:
Cover Image
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
IKONEN, SAMULI; TOIVANEN, JARI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 331-361
splitting method is increased by applying the Strang symmetrization. The good accuracy and the computational efficiency of the … proposed symmetrized splitting method are demonstrated by numerical experiments. …
Persistent link: https://www.econbiz.de/10004971758
Saved in:
Cover Image
Numerical simulation for a Duffing oscillator driven by colored noise using nonstandard difference scheme
Xie, Wen-Xian; Cai, Li; Xu, Wei - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 183-190
oscillator driven by colored noise. We propose an improved discretization of the standard FP operator-splitting method which …
Persistent link: https://www.econbiz.de/10010872865
Saved in:
Cover Image
Dual approach for a class of implicit convex optimization problems
Konnov, Igor V. - In: Computational Statistics 60 (2004) 1, pp. 87-99
The problem of finding a solution to a system of variational inequalities, which can be interpreted as a generalization of a convex optimization problem under arbitrary right-hand side constraint perturbations, is considered. We suggest this problem to be converted into a mixed variational...
Persistent link: https://www.econbiz.de/10010847542
Saved in:
Cover Image
Dual approach for a class of implicit convex optimization problems
Konnov, Igor V. - In: Mathematical Methods of Operations Research 60 (2004) 1, pp. 87-99
The problem of finding a solution to a system of variational inequalities, which can be interpreted as a generalization of a convex optimization problem under arbitrary right-hand side constraint perturbations, is considered. We suggest this problem to be converted into a mixed variational...
Persistent link: https://www.econbiz.de/10010949974
Saved in:
  • First
  • Prev
  • 1
  • 2
  • 3
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...