Numerical performance of penalty method for American option pricing
From MaRDI portal
Publication:3161139
DOI10.1080/10556780903051930zbMath1197.91189WikidataQ59416183 ScholiaQ59416183MaRDI QIDQ3161139
Xiao Qi Yang, Kai Zhang, Kok Lay Teo, Songgui Wang
Publication date: 12 October 2010
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/17748
91G60: Numerical methods (including Monte Carlo methods)
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
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