Simon Fraser University

Optimization Algorithms

There are three groups of optimization techniques available in PROC NLP. A particular optimizer can be selected with the TECH=name option in the PROC NLP statement. Since no single optimization ...
Risk

On extensions of the Barone-Adesi and Whaley method to price American-type options

This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework. Our ...
JSTOR Daily

A Posteriori Error Estimators for Nonconforming Approximation of Some Quasi-Newtonian Flows

SIAM Journal on Numerical Analysis, Vol. 34, No. 4 (Aug., 1997), pp. 1600-1615 (16 pages) This paper deals with a posteriori error estimators for nonconforming ...
Simon Fraser University

Optimization Algorithms

There are several optimization techniques available in PROC NLMIXED. You can choose a particular optimizer with the TECH=name option in the PROC NLMIXED statement. No algorithm for optimizing general ...