Penalty methods for the numerical solution of American multi-asset option problems

3138/Nielsen_-_Penalty_methods_for_the_numerical_solution_of_Amer.pdf

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

September 07, 2000

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• 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