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"Augmented Lagrangian method applied to American option pricing."

K. Zhang, X. Q. Yang, Kok Lay Teo (2006)

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DOI: 10.1016/J.AUTOMATICA.2006.01.017

access: closed

type: Journal Article

metadata version: 2020-02-20

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K. Zhang, X. Q. Yang, Kok Lay Teo:
Augmented Lagrangian method applied to American option pricing. Autom. 42(8): 1407-1416 (2006)

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