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The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
Howison, S. D., Reisinger, C., Witte, J. H.Volume:
4
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/12087743x
Date:
January, 2013
File:
PDF, 1.97 MB
english, 2013