Numerical performance of penalty method for American option pricing
Teo, Kok Lay
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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.
Optimization Methods and Software
School of Science and Computing
Department of Mathematics and Statistics
Faculty of Science and Engineering