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• Primal-Dual Active-Set Method for the Valuation of American Exchange Options

  Xin Wen, Haiming Song, Rui Zhang, Yutian Li

  2023-10-23

  27043 2514 Pages:858-885

• Primal-Dual Active Set Method for American Lookback Put Option Pricing

  Haiming Song, Xiaoshen Wang, Kai Zhang, Qi Zhang

  2018-03-19

  36797 3063 Pages:603-614

• Projection and Contraction Method for the Valuation of American Options

  Haiming Song, Ran Zhang

  2018-02-09

  37717 4851 Pages:48-60