An efficient numerical method for the valuation of American multi-asset options (Q2204166)
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scientific article; zbMATH DE number 7261307
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| English | An efficient numerical method for the valuation of American multi-asset options |
scientific article; zbMATH DE number 7261307 |
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An efficient numerical method for the valuation of American multi-asset options (English)
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15 October 2020
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American multi-asset options
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linear complementarity problem
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far-field boundary estimate
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finite element method
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projection and contraction method
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0.8603495359420776
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0.8361861109733582
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0.8282911777496338
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0.8278024792671204
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