Convergence analysis of power penalty method for American bond option pricing (Q2393070)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Convergence analysis of power penalty method for American bond option pricing |
scientific article |
Statements
Convergence analysis of power penalty method for American bond option pricing (English)
0 references
7 August 2013
0 references
complementarity problem
0 references
variational inequalities
0 references
option pricing
0 references
penalty method
0 references
0 references