Convergence property of an interior penalty approach to pricing American option (Q549902)
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scientific article; zbMATH DE number 5925683
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence property of an interior penalty approach to pricing American option |
scientific article; zbMATH DE number 5925683 |
Statements
Convergence property of an interior penalty approach to pricing American option (English)
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19 July 2011
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complementarity problem
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variational inequalities
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option pricing
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penalty method
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