Quadratic Convergence for Valuing American Options Using a Penalty Method (Q2780619)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic Convergence for Valuing American Options Using a Penalty Method |
scientific article |
Statements
Quadratic Convergence for Valuing American Options Using a Penalty Method (English)
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15 April 2002
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American option
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penalty iteration
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linear complementarity
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