Archived publication
Archived publication
Penalty and front-fixing methods for the numerical solution of American option problems
3137/Nielsen_-_Penalty_and_front-fixing_methods_for_the_numerical.pdf
January 31, 2000
SAND
- 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