A two-grid penalty method for American options
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Publication:1993545
DOI10.1007/s40314-017-0457-6zbMath1400.91651OpenAlexW2616136681MaRDI QIDQ1993545
Radoslav L. Valkov, Miglena N. Koleva, Tatiana Chernogorova
Publication date: 5 November 2018
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-017-0457-6
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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