An efficient and provable sequential quadratic programming method for American and swing option pricing (Q6586252)
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scientific article; zbMATH DE number 7895453
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| default for all languages | No label defined |
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| English | An efficient and provable sequential quadratic programming method for American and swing option pricing |
scientific article; zbMATH DE number 7895453 |
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An efficient and provable sequential quadratic programming method for American and swing option pricing (English)
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13 August 2024
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American option
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Heston model
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jump diffusion
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swing option
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quadratic programming
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