Archived publication

Archived publication

Penalty and front-fixing methods for the numerical solution of American option problems

Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak

January 31, 2000

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  • Filename: 3137/Nielsen_-_Penalty_and_front-fixing_methods_for_the_numerical.pdf
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  • Title: Penalty and front-fixing methods for the numerical solution of American option problems
  • Author(s): Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak
  • Report number: Preprint 2000-5 Institutt for Informatikk (UiO)
  • Published date: January 31, 2000