The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/12087743X
Reference26 articles.
1. An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
2. Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
3. The Pricing of Options and Corporate Liabilities
4. The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
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