Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719): Difference between revisions

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Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
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    Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (English)
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    5 October 2006
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    Black--Scholes models
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    Amerasian options
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    Lagrange--Galerkin method
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    duality algorithm
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