Numerical performance of penalty method for American option pricing (Q3161139)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical performance of penalty method for American option pricing |
scientific article |
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Numerical performance of penalty method for American option pricing (English)
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12 October 2010
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complementarity problem
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option pricing
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penalty method
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finite volume method
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