A penalty method for American multi-asset option problems (Q6040370)
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scientific article; zbMATH DE number 7688812
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A penalty method for American multi-asset option problems |
scientific article; zbMATH DE number 7688812 |
Statements
A penalty method for American multi-asset option problems (English)
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25 May 2023
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parabolic variational inequality
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parabolic unilateral problem
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American multi-asset option
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penalty method
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error estimate
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Black-Scholes equation
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0.9360235333442688
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0.8951817154884338
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0.877313494682312
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0.8517814874649048
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