Search Results - "Labahn, G."

A semi-Lagrangian approach for American Asian options under jump diffusion.

Authors: D'halluin, Y. Forsyth, P. A. Labahn, G.

Source: SIAM Journal on Scientific Computing; 2005, Vol. 27 Issue 1, p315-345, 31p

A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.

Authors: Babbin, J. Forsyth, P. Labahn, G.

Source: Journal of Scientific Computing; Feb2014, Vol. 58 Issue 2, p409-430, 22p

Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion.

Authors: Huang, Y. Forsyth, P.A. Labahn, G.

Source: Applied Numerical Mathematics; Oct2013, Vol. 72, p33-51, 19p

Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.

Authors: Huang, Y. Forsyth, P. Labahn, G.

Source: Numerische Mathematik; Sep2012, Vol. 122 Issue 1, p133-167, 35p

COMBINED FIXED POINT AND POLICY ITERATION FOR HAMILTON-JACOBI-BELLMAN EQUATIONS IN FINANCE.

Authors: HUANG, Y. FORSYTH, P. A. LABAHN, G.

Source: SIAM Journal on Numerical Analysis; 2012, Vol. 50 Issue 4, p1861-1882, 22p

METHODS FOR PRICING AMERICAN OPTIONS UNDER REGIME SWITCHING.

Authors: Huang, Y. Forsyth, P. A. Labahn, G.

Source: SIAM Journal on Scientific Computing; 2011, Vol. 33 Issue 5, p2144-2168, 25p

Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals.

Authors: Bélanger, A.C. Forsyth, P.A. Labahn, G.

Source: Applied Mathematical Finance. Dec2009, Vol. 16 Issue 6, p451-496. 46p. 4 Diagrams, 9 Charts.

Matrix Padé approximants

Authors: Labahn, G.

URL: https://era.library.ualberta.ca/items/94059c0d-5246-423b-846c-40a0c50bb671/view/4ecd9260-79e7-4eb1-875d-d1caa98d4eef/ML30278.pdf

A numerical PDE approach for pricing callable bonds.

Authors: D'Halluin, Y. Forsyth, P.A. Vetzal, K.R. et al.

Source: Applied Mathematical Finance. Mar2001, Vol. 8 Issue 1, p49-77. 29p. 1 Diagram, 7 Charts, 13 Graphs.