"Quadratic Convergence for Valuing American Options Using a Penalty Method."

Peter A. Forsyth, Kenneth R. Vetzal (2002)

> Home

Details and statistics

DOI: 10.1137/S1064827500382324

access: closed

type: Journal Article

metadata version: 2020-07-30

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/siamsc/ForsythV02
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/siamsc/ForsythV02
Peter A. Forsyth, Kenneth R. Vetzal:
Quadratic Convergence for Valuing American Options Using a Penalty Method. SIAM J. Sci. Comput. 23(6): 2095-2122 (2002)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.