A fast numerical method for the valuation of American lookback put options (Q2198448)
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scientific article; zbMATH DE number 7245998
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| English | A fast numerical method for the valuation of American lookback put options |
scientific article; zbMATH DE number 7245998 |
Statements
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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0.8483973741531372
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0.8316119909286499
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0.8278024792671204
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