Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446)
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scientific article; zbMATH DE number 5223394
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty |
scientific article; zbMATH DE number 5223394 |
Statements
Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (English)
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4 January 2008
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Option pricing
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Variational inequality
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Penalty method
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Finite element method
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0.9470646
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0.9286263
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0.9258586
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0.9145526
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0.9099154
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0.9067813
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0.9045848
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