Pricing American options with a non-constant penalty parameter
Year of publication: |
2020
|
---|---|
Authors: | Clevenhaus, Anna ; Ehrhardt, Matthias ; Günther, Michael ; Ševécoviéc, Daniel |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 6, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | American Options | PDE option pricing | Penalty term | projected SOR | penalization strategy |
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