A Power Penalty Approach to Numerical Solutions of Two-Asset American Options
Teo, Kok Lay
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Zhang, K. and Wang, S. and Yang, X.Q. and Teo, K.L. 2009. A Power Penalty Approach to Numerical Solutions of Two-Asset American Options. Numerical Mathematics: Theory, Methods and Applications. 2 (2): pp. 202-223.
NUMERICAL MATHEMATICS: Theory, Methods and Applications
School of Science and Computing
Department of Mathematics and Statistics
Faculty of Science and Engineering