An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation

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Publication:5156976

DOI10.4208/aamm.OA-2019-0107zbMath1488.91161OpenAlexW3034072902MaRDI QIDQ5156976

Xiaowei Pang, Haiming Song, Kai Zhang, Xiao Shen Wang

Publication date: 12 October 2021

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.oa-2019-0107




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