Numerical performance of penalty method for American option pricing (Q3161139): Difference between revisions

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+W1984152776
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Option pricing: A simplified approach
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+A fitted finite volume method for the valuation of options on assets with stochastic volatilities
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+Q4794126
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+A power penalty method for linear complementarity problems
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+Pricing options under jump diffusion processes with fitted finite volume method
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