Penalty methods for the numerical solution of American multi-asset option problems (Q952073)
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scientific article; zbMATH DE number 5362082
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| English | Penalty methods for the numerical solution of American multi-asset option problems |
scientific article; zbMATH DE number 5362082 |
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Penalty methods for the numerical solution of American multi-asset option problems (English)
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6 November 2008
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American options
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penalty methods
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numerical solution
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0.9360235333442688
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0.8712750673294067
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0.8642139434814453
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0.8606314659118652
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0.852777898311615
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