Convergence property of an interior penalty approach to pricing American option (Q549902): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.3934/jimo.2011.7.435 / rank | |||
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Revision as of 16:35, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence property of an interior penalty approach to pricing American option |
scientific article |
Statements
Convergence property of an interior penalty approach to pricing American option (English)
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19 July 2011
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complementarity problem
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variational inequalities
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option pricing
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penalty method
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