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Penalty methods for the numerical solution of American multi-asset option problems

Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak

September 07, 2000

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  • Filename: 3138/Nielsen_-_Penalty_methods_for_the_numerical_solution_of_Amer.pdf
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  • Title: Penalty methods for the numerical solution of American multi-asset option problems
  • Author(s): Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak
  • Report number: Preprint 2000-289 Institutt for Informatikk (UiO)
  • Published date: September 07, 2000

 

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Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR