A power penalty approach to numerical solutions of two-asset american options

K. Zhang, Song Wang, X.Q. Yang, K.L. Teo

Research output: Contribution to journal › Article › peer-review

26 Citations (Web of Science)

Original language	English
Pages (from-to)	202-223
Journal	Numerical Mathematics: Theory, Methods and Applications
Volume	2
Issue number	2
Publication status	Published - 2009

Access to Document

@article{e101bdf9a0004283afb2fd3b12cd6a00,

title = "A power penalty approach to numerical solutions of two-asset american options",

author = "K. Zhang and Song Wang and X.Q. Yang and K.L. Teo",

year = "2009",

language = "English",

volume = "2",

pages = "202--223",

journal = "Numerical Mathematics: Theory, Methods and Applications",

issn = "1004-8979",

publisher = "Global Science Press",

number = "2",

}