Applying a power penalty method to numerically pricing American bond options (Q1762398)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applying a power penalty method to numerically pricing American bond options |
scientific article |
Statements
Applying a power penalty method to numerically pricing American bond options (English)
0 references
26 November 2012
0 references
Variational inequality problem
0 references
Option pricing
0 references
Penalty method
0 references
Finite volume method
0 references
0 references
0 references
