Wen, Xin; Song, Haiming; Zhang, Rui; Li, Yutian Primal-dual active-set method for the valuation of American exchange options. (English) Zbl 07779869 East Asian J. Appl. Math. 13, No. 4, 858-885 (2023). MSC: 65M60 65M06 65N30 65M12 35A35 35B45 65K10 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{X. Wen} et al., East Asian J. Appl. Math. 13, No. 4, 858--885 (2023; Zbl 07779869) Full Text: DOI
Song, Haiming; Wang, Xiaoshen; Zhang, Kai; Zhang, Qi Primal-dual active set method for American lookback put option pricing. (English) Zbl 1392.35315 East Asian J. Appl. Math. 7, No. 3, 603-614 (2017). Reviewer: Valery V. Karachik (Chelyabinsk) MSC: 35Q91 65K10 65M12 65M60 35A35 91B24 65M06 65N30 35R35 91G20 91G60 PDFBibTeX XMLCite \textit{H. Song} et al., East Asian J. Appl. Math. 7, No. 3, 603--614 (2017; Zbl 1392.35315) Full Text: DOI
Song, Haiming; Zhang, Ran Projection and contraction method for the valuation of American options. (English) Zbl 1318.35132 East Asian J. Appl. Math. 5, No. 1, 48-60 (2015). MSC: 35Q91 35A35 65K10 65M12 65M60 65K15 91G20 PDFBibTeX XMLCite \textit{H. Song} and \textit{R. Zhang}, East Asian J. Appl. Math. 5, No. 1, 48--60 (2015; Zbl 1318.35132) Full Text: DOI