Primal-Dual Active Set Method for American Lookback Put Option Pricing (Q4605731)
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scientific article; zbMATH DE number 6844317
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal-Dual Active Set Method for American Lookback Put Option Pricing |
scientific article; zbMATH DE number 6844317 |
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Primal-Dual Active Set Method for American Lookback Put Option Pricing (English)
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27 February 2018
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American lookback option
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linear complementarity problem
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variational inequality
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finite element method
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primal-dual active set method
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