Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation

By Song Wang, Xiaoqi Yang, Kok Lay Teo. 2006

139 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance

View Paper: https://www.semanticscholar.org/paper/779f347c02922bbeef625626a12c94b182b0bf22