A direct LU solver for pricing American bond options under Hull-White model (Q313650)
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scientific article; zbMATH DE number 6626261
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| English | A direct LU solver for pricing American bond options under Hull-White model |
scientific article; zbMATH DE number 6626261 |
Statements
A direct LU solver for pricing American bond options under Hull-White model (English)
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12 September 2016
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American bond options
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interest rate models
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Crank-Nicolson method
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linear complementarity problem
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LU decomposition
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0.7716033458709717
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0.770117998123169
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0.7675744891166687
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0.7630974650382996
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0.751757800579071
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