Convergence analysis of power penalty method for American bond option pricing
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DOI: 10.1007/s10898-012-9843-1
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- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
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Cited by:
- Zhe Sun & Zhe Liu & Xiaoqi Yang, 2015. "On power penalty methods for linear complementarity problems arising from American option pricing," Journal of Global Optimization, Springer, vol. 63(1), pages 165-180, September.
- Yarui Duan & Song Wang & Yuying Zhou, 2021. "A power penalty approach to a mixed quasilinear elliptic complementarity problem," Journal of Global Optimization, Springer, vol. 81(4), pages 901-918, December.
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Keywords
Complementarity problem; Variational inequalities; Option pricing; Penalty method;All these keywords.
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