Search Results - "American option pricing"

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  1. 1
    A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method

    A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method by Zhang, Kai, Teo, Kok Lay, Swartz, Mick

    Published 2013
    Subjects: Get full text
  2. 2
    Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs

    Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs by Lesmana, D., Wang, Song

    Published 2015
    Subjects: “…American option pricing…”
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