Penalty methods for the numerical solution of American multi-asset option problems
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Publication:952073
DOI10.1016/j.cam.2007.10.041zbMath1152.91542OpenAlexW1965135515MaRDI QIDQ952073
Ola Skavhaug, Aslak Tveito, Bjørn Fredrik Nielsen
Publication date: 6 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.041
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20)
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