| 学术论文： |
[18] Song, Haiming; Xu, Jingbo; Yang, Jinda; Li, Yutian. Projection and contraction method for the valuation of American options under regime switching. Commun. Nonlinear Sci. Numer. Simul. 109 (2022), Paper No. 106332, 16 pp. [17] Qian, Yiyuan; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets. Electron. Res. Arch. 30 (2022), no. 1, 90–115. [16] Zhang, Qi; Song, Haiming; Hao, Yongle. Semi-implicit FEM for the valuation of American options under the Heston model. Comput. Appl. Math. 41 (2022), no. 2, Paper No. 73, 20 pp. [15] Pang, Xiaowei; Song, Haiming; Wang, Xiaoshen; Zhang, Jiachuan. Efficient numerical methods for elliptic optimal control problems with random coefficient. Electron. Res. Arch. 28 (2020), no. 2, 1001–1022. [14] Pang, Xiaowei; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation. Adv. Appl. Math. Mech. 12 (2020), no. 4, 902–919. [13] Gao, Yu; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. Primal-dual active set method for pricing American better-of option on two assets. Commun. Nonlinear Sci. Numer. Simul. 80 (2020), 104976, 15 pp. [12] Zhang, Qi; Song, Haiming; Yang, Chengbo; Wu, Fangfang. An efficient numerical method for the valuation of American multi-asset options. Comput. Appl. Math. 39 (2020), no. 3, Paper No. 240, 12 pp. [11] Yang, Jinda; Zhang, Kai; Song, Haiming; Cheng, Ting. An alternating direction method of multipliers for optimal control problems constrained with elliptic equations. Adv. Appl. Math. Mech. 12 (2020), no. 2, 336–361. [10] Hao, Yongle; Song, Haiming; Wang, Xiaoshen; Zhang, Kai. An alternating direction method of multipliers for the optimization problem constrained with a stationary Maxwell system. Commun. Comput. Phys. 24 (2018), no. 5, 1435–1454. [10] Song, Haiming; Wang, Xiaoshen; Zhang, Kai; Zhang, Qi. Primal-dual active set method for American lookback put option pricing. East Asian J. Appl. Math. 7 (2017), no. 3, 603–614. [9] Song, Haiming; Zhang, Kai; Li, Yutian. Finite element and discontinuous Galerkin methods with perfect matched layers for American options. Numer. Math. Theory Methods Appl. 10 (2017), no. 4, 829–851. [8] Song, Haiming; Zhang, Qi; Li, Jingzhi; Liu, Hongyu. Finite element method for valuation of American lookback options. Math. Numer. Sin. 38 (2016), no. 3, 245–256. [7] Song, Haiming; Zhang, Ran. Projection and contraction method for the valuation of American options. East Asian J. Appl. Math. 5 (2015), no. 1, 48–60. [6] Zhang, Ran; Zhang, Qi; Song, Haiming. An efficient finite element method for pricing American multi-asset put options. Commun. Nonlinear Sci. Numer. Simul. 29 (2015), no. 1-3, 25–36. [5] Song, Haiming; Zhang, Qi; Zhang, Ran. A fast numerical method for the valuation of American lookback put options. Commun. Nonlinear Sci. Numer. Simul. 27 (2015), no. 1-3, 302–313. [4] Zhang, Kai; Song, Haiming; Li, Jingzhi. Front-fixing FEMs for the pricing of American options based on a PML technique. Appl. Anal. 94 (2015), no. 5, 903–931. [3] Song, Haiming; Zhang, Ran; Tian, WenYi. Spectral method for the Black-Scholes model of American options valuation. J. Math. Study 47 (2014), no. 1, 47–64. [2] Zhang, Ran; Song, Haiming; Luan, Nana. Weak Galerkin finite element method for valuation of American options. Front. Math. China 9 (2014), no. 2, 455–476. [1] Zhang, Kai; Li, Jie; Song, Haiming. Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays. Appl. Math. Comput. 218 (2012), no. 22, 10848–10860. |
