The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options (Q2873140): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options |
scientific article |
Statements
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options (English)
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23 January 2014
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American option
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jump-diffusion model
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penalty method
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penalization error
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nonsmooth payoff
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