Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
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Cites work
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Cited in
(4)- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Variable time step operator splitting methods with stability and error estimates for pricing American options
- An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework
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