Penalty methods for the numerical solution of American...

Journal of Computational and Applied Mathematics 2008 Vol. 222; Iss. 1

Penalty methods for the numerical solution of American multi-asset option problems

Bjørn Fredrik Nielsen, Ola Skavhaug, Aslak Tveito
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Volume:
222
Year:
2008
Language:
english
Pages:
14
DOI:
10.1016/j.cam.2007.10.041
File:
PDF, 580 KB
english, 2008
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