Comparison of two algorithms to solve the fixed-strike Amerasian options pricing problem (Q3436962)
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scientific article; zbMATH DE number 5152211
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| English | Comparison of two algorithms to solve the fixed-strike Amerasian options pricing problem |
scientific article; zbMATH DE number 5152211 |
Statements
11 May 2007
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Black-Scholes models
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Amerasian options
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Lagrange-Galerkin method
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duality algorithms
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active set methods
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0.8283379077911377
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0.8186603784561157
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0.7855871319770813
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