B. F. NIELSEN, O. SKAVHAUG, AND A. TVEITO, Penalty and front-fixing methods for the numerical solution of American option problems, J. Comput. Finance, 5 (2002), pp. 69--97. Home/Search Document Details and Download
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Using Meshfree Approximation for Multi-Asset American.. - Fasshauer, Khaliq, Voss (Correct)
....The problem can then be solved on a fixed domain. The penalty method was introduced by Zvan et al. 13] for American options with stochastic volatility by adding a source term to the discrete equation. A small continuous source term was added to the partial di#erential equation by Nielsen et al. [8]. The authors illustrated the performance of various numerical schemes based on theta methods for temporal integration and replacing the spatial derivatives by finite di#erence approximations. Two of the authors of this work extended the penalty approach to the multi asset case [6] using centered ....
....problem in which the moving boundary no longer explicitly occurs (e.g. this is the approach taken in [7] We will instead add a penalty term to the Black Scholes equation (1) and thereby convert the problem to one on a fixed domain. This transformation was suggested in [13] and later refined in [8] (both for the case of single asset options) By adding a penalty term to the multi asset Black Scholes equation (1) we obtain a parabolic nonlinear partial di#erential equation 1 q = 0, 9) 0 t T . Here 0 # 1 is a small regularization parameter, C rE ....
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B. F. Nielsen, O. Skavhaug, and A. Tveito, Penalty and front-fixing methods for the numerical solution of American option problems, J. Comput. Finance 5 (2002).
Reports of the Department of Mathematical Information.. - Series Scientific.. (Correct)
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B. F. NIELSEN, O. SKAVHAUG, AND A. TVEITO, Penalty and front-fixing methods for the numerical solution of American option problems, J. Comput. Finance, 5 (2002), pp. 69--97.
Pricing American Options Using LU Decomposition - Ikonen, Toivanen (2004) (Correct)
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B. F. Nielsen, O. Skavhaug, and A. Tveito, Penalty and front-fixing methods for the numerical solution of american option problems, Journal of Computational Finance, 5 (2002), pp. 69--97.
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