Evaluating American put options on zero-coupon bonds by a penalty method (Q544230): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65M08 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5907721 / rank | |||
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| Property / zbMATH Keywords | |||
zero-coupon bond | |||
| Property / zbMATH Keywords: zero-coupon bond / rank | |||
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American put option | |||
| Property / zbMATH Keywords: American put option / rank | |||
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| Property / zbMATH Keywords | |||
linear complementarity problem | |||
| Property / zbMATH Keywords: linear complementarity problem / rank | |||
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| Property / zbMATH Keywords | |||
finite volume method | |||
| Property / zbMATH Keywords: finite volume method / rank | |||
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| Property / zbMATH Keywords | |||
power penalty method | |||
| Property / zbMATH Keywords: power penalty method / rank | |||
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Revision as of 11:01, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Evaluating American put options on zero-coupon bonds by a penalty method |
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Statements
Evaluating American put options on zero-coupon bonds by a penalty method (English)
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14 June 2011
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zero-coupon bond
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American put option
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linear complementarity problem
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finite volume method
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power penalty method
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