Search Results - "Penalty method"

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  1. 1
    Convergence analysis of power penalty method for American bond option pricing

    Convergence analysis of power penalty method for American bond option pricing by Zhang, K., Teo, Kok Lay

    Published 2013
    Subjects: Get full text
  2. 2
    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
  3. 3
    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
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  4. 4
    A penalty approach to a discretized double obstacle problem with derivative constraints

    A penalty approach to a discretized double obstacle problem with derivative constraints by Wang, Song

    Published 2015
    Subjects: Get full text
  5. 5
    A power penalty method for a bounded nonlinear complementarity problem

    A power penalty method for a bounded nonlinear complementarity problem by Wang, Song, Yang, X.

    Published 2015
    Subjects: “…power penalty methods…”
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