Applying a power penalty method to numerically pricing American bond options (Q1762398)
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scientific article; zbMATH DE number 6110384
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applying a power penalty method to numerically pricing American bond options |
scientific article; zbMATH DE number 6110384 |
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Applying a power penalty method to numerically pricing American bond options (English)
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26 November 2012
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Variational inequality problem
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Option pricing
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Penalty method
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Finite volume method
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