scholarly journals Convergence analysis of a monotonic penalty method for American option pricing

2008 ◽  
Vol 348 (2) ◽  
pp. 915-926 ◽  
Author(s):  
Kai Zhang ◽  
Xiaoqi Yang ◽  
Kok Lay Teo
Keyword(s):  
Option Pricing ◽  
Convergence Analysis ◽  
Penalty Method ◽  
American Option ◽  
American Option Pricing

scholarly journals Numerical performance of penalty method for American option pricing

2010 ◽  
Vol 25 (5) ◽  
pp. 737-752 ◽  
Author(s):  
K. Zhang ◽  
X. Q. Yang ◽  
S. Wang ◽  
K. L. Teo
Keyword(s):  
Option Pricing ◽  
Penalty Method ◽  
American Option ◽  
American Option Pricing ◽  
Numerical Performance
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