Quadratic Convergence for Valuing American Options Using a Penalty Method
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Publication:2780619
DOI10.1137/S1064827500382324zbMath1020.91017OpenAlexW2054756613MaRDI QIDQ2780619
Peter A. I. Forsyth, Kenneth Vetzal
Publication date: 15 April 2002
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s1064827500382324
Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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