Primal-dual active set method for pricing American better-of option on two assets (Q2205394)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal-dual active set method for pricing American better-of option on two assets |
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Primal-dual active set method for pricing American better-of option on two assets (English)
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20 October 2020
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American better-of option
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linear complementary problem
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variational inequality
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primal-dual active set method
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