A two-grid penalty method for American options (Q1993545)
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scientific article; zbMATH DE number 6973220
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A two-grid penalty method for American options |
scientific article; zbMATH DE number 6973220 |
Statements
A two-grid penalty method for American options (English)
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5 November 2018
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penalty method
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finite difference
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two-grid
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Newton method
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maximum principle
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0.90694845
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0.90239245
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0.9001404
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0.89872366
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0.8911051
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