Work

A linearly implicit predictor–corrector scheme for pricing American options using a penalty method approach

Year: 2005

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2005.04.017

Authors: A.Q.M. Khaliq, D.A. Voss, S.H.K. Kazmi

Institutions: University of Wisconsin–La Crosse, Western Illinois University, University of Iowa

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2003448741

FWCI: 2.842

Cites: 17

Cited by: 62

Related to: 10