Penalty methods for the numerical solution of American multi-asset option problems (Q952073): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.cam.2007.10.041 / rank
 
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Latest revision as of 19:46, 28 June 2024

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Penalty methods for the numerical solution of American multi-asset option problems
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    Penalty methods for the numerical solution of American multi-asset option problems (English)
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    6 November 2008
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    American options
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    penalty methods
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    numerical solution
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