An efficient numerical method for pricing a Russian option with a finite time horizon (Q5033385)
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scientific article; zbMATH DE number 7479106
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| English | An efficient numerical method for pricing a Russian option with a finite time horizon |
scientific article; zbMATH DE number 7479106 |
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An efficient numerical method for pricing a Russian option with a finite time horizon (English)
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22 February 2022
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Russian option
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option valuation
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linear complementarity problem
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finite difference
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mixed boundary condition
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0.9399958
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0.8740159
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0.87348473
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0.8720759
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