A penalty method for American multi-asset option problems
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Publication:6040370
DOI10.1134/s1995080223010092zbMath1514.35275OpenAlexW4377003480MaRDI QIDQ6040370
Publication date: 25 May 2023
Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s1995080223010092
error estimatepenalty methodBlack-Scholes equationparabolic variational inequalityparabolic unilateral problemAmerican multi-asset option
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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