Applying a power penalty method to numerically pricing American bond options (Q1762398): Difference between revisions

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+https://doi.org/10.1007/s10957-012-0004-y
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+Numerical pricing of American put options on zero-coupon bonds.
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+Q4672209
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+Q4794126
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+Pricing American bond options using a penalty method
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
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+A Theory of the Term Structure of Interest Rates
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+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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+Finite-Dimensional Variational Inequalities and Complementarity Problems
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+A power penalty method for linear complementarity problems
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+A power penalty approach to a nonlinear complementarity problem
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+Lagrange-type functions in constrained non-convex optimization.
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+Publication:1762398