An efficient finite element method for pricing American multi-asset put options (Q2198473): Difference between revisions

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Property / DOI: 10.1016/j.cnsns.2015.03.022 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.cnsns.2015.03.022 / rank
 
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Property / OpenAlex ID: W2057576018 / rank
 
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Latest revision as of 11:03, 17 December 2024

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An efficient finite element method for pricing American multi-asset put options
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    An efficient finite element method for pricing American multi-asset put options (English)
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    10 September 2020
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    American multi-asset put options
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    linear complementary problem
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    perfectly matched layer
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    semi-implicit finite element method
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