| 1 |
The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints
Bouchard B, Vu TN
Applied Mathematics and Optimization, 61(2), 235, 2010 |
| 2 |
AN INVERSE PROBLEM IN AMERICAN OPTIONS AS A MATHEMATICAL PROGRAM WITH EQUILIBRIUM CONSTRAINTS: C-STATIONARITY AND AN ACTIVE-SET-NEWTON SOLVER
Hintermuller M, Tber MH
SIAM Journal on Control and Optimization, 48(7), 4419, 2010 |
| 3 |
A PROOF OF THE SMOOTHNESS OF THE FINITE TIME HORIZON AMERICAN PUT OPTION FOR JUMP DIFFUSIONS
Bayraktar E
SIAM Journal on Control and Optimization, 48(2), 551, 2009 |
| 4 |
AMERICAN OPTIONS IN REGIME-SWITCHING MODELS
Boyarchenko S, Levendorskii S
SIAM Journal on Control and Optimization, 48(3), 1353, 2009 |
| 5 |
EXPONENTIAL HEDGING WITH OPTIMAL STOPPING AND APPLICATION TO EMPLOYEE STOCK OPTION VALUATION
Leung T, Sircar R
SIAM Journal on Control and Optimization, 48(3), 1422, 2009 |
| 6 |
An inverse problem for a parabolic variational inequality with an integro-differential operator
Achdou Y
SIAM Journal on Control and Optimization, 47(2), 733, 2008 |
| 7 |
An inverse problem for a parabolic variational inequality arising in volatility calibration with American options
Achdou Y
SIAM Journal on Control and Optimization, 43(5), 1583, 2005 |
| 8 |
Brownian optimal stopping and random walks
Lamberton D
Applied Mathematics and Optimization, 45(3), 283, 2002 |
| 9 |
Perpetual American options under Levy processes
Boyarchenko SI, Levendorskii SZ
SIAM Journal on Control and Optimization, 40(6), 1663, 2002 |
