The effect of nonsmooth payoffs on the penalty approximation of American options (Q2873140)
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scientific article; zbMATH DE number 6249472
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| default for all languages | No label defined |
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| English | The effect of nonsmooth payoffs on the penalty approximation of American options |
scientific article; zbMATH DE number 6249472 |
Statements
23 January 2014
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American option
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jump-diffusion model
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penalty method
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penalization error
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nonsmooth payoff
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The effect of nonsmooth payoffs on the penalty approximation of American options (English)
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0.821351170539856
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0.8072104454040527
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0.8028758764266968
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0.7952189445495605
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0.7936717867851257
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