Penalty methods for the numerical solution of American multi-asset option problems

By B. F. Nielsen, Ola Skavhaug, A. Tveito. 2008

87 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/21a14e7046bea19cc3561346f2e9e0e455f43756