Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty

Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi. Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty. J. Sci. Comput., 33(3):209-237, 2007. [doi]

Abstract

Abstract is missing.