Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475)
From MaRDI portal
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)
0 references
20 April 2022
0 references
American better-of option
0 references
far-field truncation technique
0 references
linear complementary problem
0 references
finite element method
0 references
primal-dual active-set method
0 references
