Primal-dual active set method for evaluating American put options on zero-coupon bonds (Q6552647)
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scientific article; zbMATH DE number 7862445
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| English | Primal-dual active set method for evaluating American put options on zero-coupon bonds |
scientific article; zbMATH DE number 7862445 |
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Primal-dual active set method for evaluating American put options on zero-coupon bonds (English)
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10 June 2024
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American bond options
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linear complementarity problem
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variational inequality
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primal-dual active set method
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0.8466503620147705
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0.84120774269104
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0.8295261263847351
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0.8182847499847412
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0.8156028389930725
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