Zobrazeno 1 - 2
of 2
pro vyhledávání: '"El bekkey Mermri"'
Publikováno v:
Boletim da Sociedade Paranaense de Matemática, Vol 32, Iss 2, Pp 189-208 (2014)
In this paper, American options on a discount bond are priced under the Cox-Ingrosll-Ross (CIR) model. The linear complementarity problem of the option value is solved numerically by a penalty method. The problem is transformed into a nonlinear parti
Externí odkaz:
https://doaj.org/article/d866431a947e4dd5a965ba21ab2f652a
Publikováno v:
American Journal of Computational Mathematics. :217-222
This paper, we develop a numerical method for solving a unilateral obstacle problem by using the cubic spline collocation method and the generalized Newton method. This method converges quadratically if a relation-ship between the penalty parameter a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d3dbbe4e560e9e20b7ebcb9376e228c8
https://doi.org/10.4236/ajcm.2012.23028
https://doi.org/10.4236/ajcm.2012.23028