Numerical performance of penalty method for American option pricing

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

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

Original language	English
Pages (from-to)	737-752
Journal	OPTIMIZATION METHODS & SOFTWARE
Volume	25
DOIs	https://doi.org/10.1080/10556780903051930
Publication status	Published - 2010

Access to Document

@article{cd0af800f75849f391300258d308c6ac,

title = "Numerical performance of penalty method for American option pricing",

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

year = "2010",

doi = "10.1080/10556780903051930",

language = "English",

volume = "25",

pages = "737--752",

journal = "OPTIMIZATION METHODS & SOFTWARE",

issn = "1055-6788",

publisher = "Taylor & Francis",

}