Augmented Lagrangian method applied to American option pricing-Reference-Cited by-同舟云学术

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Augmented Lagrangian method applied to American option pricing

Published:2006-08 Issue:8 Volume:42 Page:1407-1416
ISSN:0005-1098
Container-title:Automatica
language:en
Short-container-title:Automatica

Author:

Zhang K.,Yang X.Q.,Teo K.L.

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Control and Systems Engineering

Reference29 articles.

1. Convergence of numerical schemes for generate parabolic equations arising in finance theory;Barles,1997

2. Applications of variational inequalities in stochastic control;Bensoussan,1982

3. Constrained optimization and Lagrangian multiplier methods;Bertsekas,1982

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Introduction to numerical linear algebra and optimisation;Ciarlet,1989

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