Primal-Dual Active-Set Method for the Valuation Of American Exchange Options (Q6139023)
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scientific article; zbMATH DE number 7779869
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| English | Primal-Dual Active-Set Method for the Valuation Of American Exchange Options |
scientific article; zbMATH DE number 7779869 |
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Primal-Dual Active-Set Method for the Valuation Of American Exchange Options (English)
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18 December 2023
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American exchange option
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linear complementarity problem
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finite element method
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primal-dual active-set method
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