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"Numerical performance of penalty method for American option pricing."

K. Zhang et al. (2010)

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DOI: 10.1080/10556780903051930

access: closed

type: Journal Article

metadata version: 2020-09-24

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  - https://dblp.org/rec/journals/oms/ZhangYWT10
K. Zhang, X. Q. Yang, Song Wang, Kok Lay Teo:
Numerical performance of penalty method for American option pricing. Optim. Methods Softw. 25(5): 737-752 (2010)

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