A two-grid penalty method for American options
type: Item
instance of: scholarly article
title: A two-grid penalty method for American options
zbMATH Open document ID: 1400.91651
author: Miglena N. Koleva
author: R. Valkov
author: T. Chernogorova
published in: Computational and Applied Mathematics
publication date: 2018-11-05T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 35R35
zbMATH DE Number: 6973220
zbMATH Keywords: penalty method
zbMATH Keywords: finite difference
zbMATH Keywords: two-grid
zbMATH Keywords: Newton method
zbMATH Keywords: maximum principle
MaRDI profile type: Publication
full work available at URL: s40314-017-0457-6
OpenAlex ID: W2616136681
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DOI: 10.1007/S40314-017-0457-6
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description: scientific article; zbMATH DE number 6973220