An efficient numerical method for pricing a Russian option with a finite time horizon (Q5033385)
From MaRDI portal
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use this page instead for the normal view: An efficient numerical method for pricing a Russian option with a finite time horizon
scientific article; zbMATH DE number 7479106
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An efficient numerical method for pricing a Russian option with a finite time horizon |
scientific article; zbMATH DE number 7479106 |
Statements
An efficient numerical method for pricing a Russian option with a finite time horizon (English)
0 references
22 February 2022
0 references
Russian option
0 references
option valuation
0 references
linear complementarity problem
0 references
finite difference
0 references
mixed boundary condition
0 references
0 references
0 references
0 references
0 references
0 references
0.9399958
0 references
0 references
0.8740159
0 references
0.87348473
0 references
0.8720759
0 references
