A fast numerical method for the valuation of American lookback put options (Q2198448)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast numerical method for the valuation of American lookback put options |
scientific article |
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A fast numerical method for the valuation of American lookback put options (English)
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10 September 2020
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American lookback option
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linear complementary problem
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variational inequality
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finite element method
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projection and contraction method
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