Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
DOI10.3934/JIMO.2019006zbMATH Open1449.90170OpenAlexW2921375575WikidataQ128153068 ScholiaQ128153068MaRDI QIDQ2190271FDOQ2190271
Publication date: 18 June 2020
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2019006
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linear complementarity problemreal optionsfitted finite volume methodinterior penalty methodEuropean and American put options
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