Convergence property of an interior penalty approach to pricing American option
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Publication:549902
DOI10.3934/jimo.2011.7.435zbMath1219.91146OpenAlexW2324428025WikidataQ59416176 ScholiaQ59416176MaRDI QIDQ549902
Publication date: 19 July 2011
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2011.7.435
Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)
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