Numerical performance of penalty method for American option pricing

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

    Research output: Contribution to journalArticle

    8 Citations (Scopus)
    Original languageEnglish
    Pages (from-to)737-752
    JournalOPTIMIZATION METHODS & SOFTWARE
    Volume25
    DOIs
    Publication statusPublished - 2010

    Cite this