Haar‐wavelet based approximation for pricing American options under linear complementarity formulations (Q6087702)
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scientific article; zbMATH DE number 7776004
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| English | Haar‐wavelet based approximation for pricing American options under linear complementarity formulations |
scientific article; zbMATH DE number 7776004 |
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Haar‐wavelet based approximation for pricing American options under linear complementarity formulations (English)
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12 December 2023
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American-style options
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Greeks
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linear complementarity problems
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multiresolution analysis
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operational matrices
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spiked payoffs
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wavelet transform
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