Evaluating American put options on zero-coupon bonds by a penalty method

Hong Jun Zhou, Ka Fai Cedric Yiu, Leong Kwan Li. Evaluating American put options on zero-coupon bonds by a penalty method. J. Computational Applied Mathematics, 235(13):3921-3931, 2011. [doi]

Authors

Hong Jun Zhou

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Ka Fai Cedric Yiu

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Leong Kwan Li

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