Convergence analysis of a monotonic penalty method for American option pricing
Access Status
Open access
Authors
Zhang, K.
Yang, X.
Teo, Kok
Date
2008Type
Journal Article
Metadata
Show full item recordCitation
Zhang, Kai and Yang, X and Teo, Kok Lay. 2008. Convergence analysis of a monotonic penalty method for American option pricing. Journal of Mathematical Analysis and Applications. 348 (2): pp. 915-926.
Source Title
Journal of Mathematical Analysis and Applications
ISSN
Faculty
School of Science
Science and Engineering
School
Department of Mathematics and Statistics
Remarks
Copyright © 2008 Elsevier Inc. All rights reserved.
The link to the Journal's home page is: http://www.sciencedirect.com/science/journal/0022247X