Search Results

• Penalized Schemes for Hamilton-Jacobi-Bellman Quasi-Variational Inequalities Arising in Regime Switching Utility Maximization with Optimal Stopping

  Jingtang Ma, Jianjun Ma, Haofei Wu

  2024-05-11

  21082 1679 Pages:404-428

• Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment

  Jingtang Ma, Jie Xing, Shan Yang

  2022-07-19

  39706 2969 Pages:641-661

• High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models

  Jingtang Ma, Han Wang, Zhiqiang Zhou, Zhijun Tan

  2020-03-09

  44337 2728 Pages:497-515

• FDMs for the PDEs of Option Pricing Under DEV Models with Counterparty Risk

  Jingtang Ma, Yong Chen, Taoshun He, Zhijun Tan

  2019-10-12

  44196 2577 Pages:1246-1265

• Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing

  Jie Xing & Jingtang Ma

  2018-12-17

  41505 2772 Pages:566-593