Archived publication
Archived publication
Penalty methods for the numerical solution of American multi-asset option problems
3138/Nielsen_-_Penalty_methods_for_the_numerical_solution_of_Amer.pdf
September 07, 2000
SAND
- Filename: 3138/Nielsen_-_Penalty_methods_for_the_numerical_solution_of_Amer.pdf
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- Title: Penalty methods for the numerical solution of American multi-asset option problems
- Author(s): Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak
- Report number: Preprint 2000-289 Institutt for Informatikk (UiO)
- Published date: September 07, 2000