Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility.
Kazufumi ItoJari ToivanenPublished in: SIAM J. Sci. Comput. (2009)
Keyphrases
- finite difference
- lagrange multipliers
- eikonal equation
- finite element
- constrained optimization
- hamilton jacobi
- financial markets
- partial differential equations
- numerical solution
- numerical analysis
- rate distortion
- level set
- linear program
- objective function
- stock price
- stock market
- cost function
- diffusion equation
- penalty function
- bit rate
- multiscale
- support vector regression
- image denoising
- optical flow
- image enhancement
- feature vectors
- search space
- lower bound