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Convergence of penalty methods for American options. Variational solutions and the compactness method

dc.contributor.authorPham, Thi Hong Giang
dc.date.accessioned2019-08-22T23:46:33Z
dc.date.available2019-08-22T23:46:33Z
dc.date.issued2019
dc.identifier.citationPham, Thi Hong Giang. Convergence of penalty methods for American options. Variational solutions and the compactness method. Master thesis, University of Oslo, 2019
dc.identifier.urihttp://hdl.handle.net/10852/69478
dc.description.abstracteng
dc.language.isoeng
dc.subjectquasi-variational inequality problem
dc.subjectcompactness method
dc.subjectAmerican options
dc.subjectPower penalty functions
dc.subjectoperator splitting method.
dc.titleConvergence of penalty methods for American options. Variational solutions and the compactness methodeng
dc.typeMaster thesis
dc.date.updated2019-08-22T23:46:33Z
dc.creator.authorPham, Thi Hong Giang
dc.identifier.urnURN:NBN:no-72627
dc.type.documentMasteroppgave
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/69478/1/MasterGiangPham.pdf


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