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    Numerical performance of penalty method for American option pricing

    134087_134087.pdf (193.2Kb)
    Access Status
    Open access
    Authors
    Zhang, K.
    Yang, X.
    Wang, S.
    Teo, Kok Lay
    Date
    2009
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Zhang, K and Yang, X and Wang, Song and Teo, Kok Lay. 2009. Numerical performance of penalty method for American option pricing. Optimization Methods and Software. 25 (5): pp. 737-752.
    Source Title
    Optimization Methods and Software
    DOI
    10.1080/10556780903051930
    ISSN
    10556788
    Faculty
    School of Science and Computing
    Department of Mathematics and Statistics
    Faculty of Science and Engineering
    URI
    http://hdl.handle.net/20.500.11937/17748
    Collection
    • Curtin Research Publications
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