Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446): Difference between revisions

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Latest revision as of 13:40, 27 June 2024

scientific article
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English
Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
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    Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (English)
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    4 January 2008
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    Option pricing
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    Variational inequality
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    Penalty method
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    Finite element method
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