On power penalty methods for linear complementarity problems arising from American option pricing

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Publication:496599

DOI10.1007/s10898-015-0291-6zbMath1321.91115OpenAlexW1972211416MaRDI QIDQ496599

Zhe Liu, Zhe Sun, Xiao Qi Yang

Publication date: 22 September 2015

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-015-0291-6




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