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A penalty method for American multi-asset option problems - MaRDI portal

A penalty method for American multi-asset option problems (Q6040370)

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scientific article; zbMATH DE number 7688812
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English
A penalty method for American multi-asset option problems
scientific article; zbMATH DE number 7688812

    Statements

    title
    A penalty method for American multi-asset option problems (English)
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    author
    R. Z. Dautov
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    publication date
    25 May 2023
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    Mathematics Subject Classification ID
    35K85
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    35Q91
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    91G20
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    zbMATH DE Number
    7688812
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    zbMATH Keywords
    parabolic variational inequality
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    parabolic unilateral problem
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    American multi-asset option
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    penalty method
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    error estimate
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    Black-Scholes equation
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    OpenAlex ID
    W4377003480
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    cites work
    Q3935745
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    Q4692295
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    Q3914338
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    Q5709400
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    Q3994914
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    Q4399897
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    Q3905599
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