A two-grid penalty method for American options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/article/10.1007/s40314-017-0457-6/fulltext.html
Reference24 articles.
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3. Duffy DJ (2013) Finite difference methods in financial engineering: a partial differential equation approach. Wiley, Chichester
4. Forsyth PA, Vetzal KR (2002) Quadratic convergence for valuing American options using a penalty method. SIAM J Sci Comput 23(6):2095–2122
5. Grossmann C, Roos H-G (2007) Numerical treatment of partial differential equations. Springer, Berlin
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