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A first-order BSPDE for swing option pricing
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
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The two-dimensional tree-grid method
Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
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E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
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A discrete optimality system for an optimal harvesting problem
Bakan, Hacer Öz; Yilmaz, Fikriye; Weber, Gerhard-Wilhelm - In: Computational Management Science : CMS 14 (2017) 4, pp. 519-533
Persistent link: https://www.econbiz.de/10011758945
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A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
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Impact of time illiquidity in a mixed market without full observation
Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 401-437
Persistent link: https://www.econbiz.de/10011752503