Quadratic convergence for valuing American options using a penalty method

SIAM Journal on Scientific Computing

Volumn 23, Issue 6, 2002, Pages 2095-2122

  Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

American option; Linear complementarity; Penalty iteration

Indexed keywords

APPROXIMATION THEORY; ITERATIVE METHODS; MATRIX ALGEBRA; NONLINEAR EQUATIONS;

NONLINEAR PENALTY ITERATION;

CONVERGENCE OF NUMERICAL METHODS;

EID: 0036447626     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1064827500382324     Document Type: Article

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