A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach
| Year of publication: |
2006
|
|---|---|
| Authors: | Khaliq, A.Q.M. ; Voss, D.A. ; Kazmi, S.H.K. |
| Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 30.2006, 2, p. 489-502
|
| Publisher: |
Elsevier |