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"The Effect of Nonsmooth Payoffs on the Penalty Approximation of American ..."

Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte (2013)

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DOI: 10.1137/12087743X

access: closed

type: Journal Article

metadata version: 2018-11-02

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  - journals/siamfm/HowisonRW13
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Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte:
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options. SIAM J. Financial Math. 4(1): 539-574 (2013)

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