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Filters: Author is Ola Skavhaug [Clear All Filters]
Mathematical Models of Financial Derivatives." In Advanced Topics in Computational Partial Differential Equations -Numerical Methods and Diffpack Programming, edited by H. P. Langtangen and A. Tveito, 451-482. Springer, 2003."
Penalty and Front-Fixing Methods for the Numerical Solution of American Option Problems." Journal of Computational Finance 5 (2002): 69-97."
A Penalty Scheme for Solving American Option Problems In Progress in industrial mathematics at ECMI 2000, Edited by A. M. Anile, V. Capasso and A. Greco. Springer-Verlag, 2002.
Numerical Solution of American Option Problems Using Penalty Methods In Presented at the SIAM Annual Meeting in San Diego, USA., 2001.
Penalty Methods for the Numerical Solution of American Option Problems In Presented at the Department of Mathematics, University of Oslo, Norway., 2000.