Haiming Song

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 8

Top Topics

Numerical Solution

Interior Point Algorithm

Stochastic Optimization

Top Venues

Comput. Appl. Math.

Commun. Nonlinear Sci. Numer. Simul.

J. Comput. Appl. Math.

J. Sci. Comput.

Publications

Xin Wen, Haiming Song, Yutian Li, Zihan Gao
A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis. Comput. Appl. Math. 43 (6) (2024)
Cunxin Huang, Haiming Song, Jinda Yang, Bocheng Zhou
Error analysis of finite difference scheme for American option pricing under regime-switching with jumps. J. Comput. Appl. Math. 437 (2024)
Qi Zhang, Qi Wang, Haiming Song, Yongle Hao
Primal-dual active set method for evaluating American put options on zero-coupon bonds. Comput. Appl. Math. 43 (4) (2024)
Jinda Yang, Haiming Song, Xinxin Li, Di Hou
Block Mirror Stochastic Gradient Method For Stochastic Optimization. J. Sci. Comput. 94 (3) (2023)
Haiming Song, Jingbo Xu, Jinda Yang, Yutian Li
Projection and contraction method for the valuation of American options under regime switching. Commun. Nonlinear Sci. Numer. Simul. 109 (2022)
Qi Zhang, Haiming Song, Yongle Hao
Semi-implicit FEM for the valuation of American options under the Heston model. Comput. Appl. Math. 41 (2) (2022)
Qi Zhang, Haiming Song, Chengbo Yang, Fangfang Wu
An efficient numerical method for the valuation of American multi-asset options. Comput. Appl. Math. 39 (3) (2020)
Yu Gao, Haiming Song, Xiaoshen Wang, Kai Zhang
Primal-dual active set method for pricing American better-of option on two assets. Commun. Nonlinear Sci. Numer. Simul. 80 (2020)
Haiming Song, Qi Zhang, Ran Zhang
A fast numerical method for the valuation of American lookback put options. Commun. Nonlinear Sci. Numer. Simul. 27 (Issues) (2015)
Ran Zhang, Qi Zhang, Haiming Song
An efficient finite element method for pricing American multi-asset put options. Commun. Nonlinear Sci. Numer. Simul. 29 (Issues) (2015)
Kai Zhang, Jie Li, Haiming Song
Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays. Appl. Math. Comput. 218 (22) (2012)