A Power Penalty Approach to Numerical Solutions of Two-Asset American Options

@inproceedings{Zhang2007APP,
  title={A Power Penalty Approach to Numerical Solutions of Two-Asset American Options},
  author={Kequan Zhang and Shudong Wang and Xi Quan Yang and K. L. Teo},
  year={2007}
}
American Options K. Zhang1 S. Wang2 X.Q. Yang3 K.L. Teo4 School of Mathematics and statistics, The University of Western Australia, Australia Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong Department of Mathematics and Statistics, The Curtin University of Technology, Australia kzhang@maths.uwa.edu.au swang@maths.uwa.edu.au mayangxq@polyu.edu.hk K.L.Teo@curtin.edu.au