Open AccessConvergence property of an interior penalty approach to pricing American option
Author(s) -
Kai Zhang,
Song Wang
Publication year - 2011
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2011.7.435
Subject(s) - penalty method , linear complementarity problem , nonlinear complementarity problem , mixed complementarity problem , complementarity (molecular biology) , complementarity theory , mathematical optimization , valuation (finance) , valuation of options , mathematics , convergence (economics) , nonlinear system , mathematical economics , computer science , economics , econometrics , finance , physics , quantum mechanics , biology , genetics , economic growth