An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation (Q5156976)
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scientific article; zbMATH DE number 7409059
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation |
scientific article; zbMATH DE number 7409059 |
Statements
An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation (English)
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12 October 2021
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American better-of option
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far field truncation
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front-fixing transformation
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finite element method
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