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"The Effect of Nonsmooth Payoffs on the Penalty Approximation of American ..."
Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte (2013)
- Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte:
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options. SIAM J. Financial Math. 4(1): 539-574 (2013)
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