Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475): Difference between revisions

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+https://doi.org/10.3934/era.2022005
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+W4205351764
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+On the pricing of American options
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+REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION
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+Primal-dual active set method for pricing American better-of option on two assets
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+An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation
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