"Penalty approach to a nonlinear obstacle problem governing American put ..."

Donny Citra Lesmana, Song Wang (2015)

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DOI: 10.1016/J.AMC.2014.11.060

access: closed

type: Journal Article

metadata version: 2020-02-21

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Donny Citra Lesmana, Song Wang:
Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs. Appl. Math. Comput. 251: 318-330 (2015)

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