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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Revision as of 22:56, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets |
scientific article |
Statements
Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (English)
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20 April 2022
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American better-of option
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far-field truncation technique
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linear complementary problem
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finite element method
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primal-dual active-set method
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