Convergence analysis of power penalty method for American bond option pricing (Q2393070)
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scientific article; zbMATH DE number 6195823
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| English | Convergence analysis of power penalty method for American bond option pricing |
scientific article; zbMATH DE number 6195823 |
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Convergence analysis of power penalty method for American bond option pricing (English)
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7 August 2013
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complementarity problem
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variational inequalities
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option pricing
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penalty method
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0.8922468423843384
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0.8791435956954956
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0.8559001088142395
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0.8531025052070618
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