Parabolic variational inequalities : The Lagrange multiplier approach

By Kazufumi Ito, Karl Kunisch. 2006

58 citations recorded by the source corpus.

Subfields: Applied Mathematics, Computational Theory and Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/499fbe95578aeee69ba5ff6bab725fe548f26188

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Samuli Ikonen
2. Jari Toivanen

In Computational Theory and Mathematics

1. Samuli Ikonen
2. Jari Toivanen

In Finance

1. Samuli Ikonen
2. Jari Toivanen
3. Shan Chen
4. M. Insley

Citations in the corpus

• Efficient numerical methods for pricing American options under stochastic volatility (2008, methodology): “Alternative penalty methods for the Black-Scholes model have been considered in [1], [27], [32], for example.”