"Pricing Multi-Asset American Options: A Finite Element Method-of-Lines ..."

Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi (2007)

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DOI: 10.1007/S10915-007-9150-Z

access: closed

type: Journal Article

metadata version: 2017-05-18

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Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi:
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty. J. Sci. Comput. 33(3): 209-237 (2007)

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