Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
type: Item
instance of: scholarly article
title: Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
author: D. Kumar
author: Komal Deswal
published in: Numerical Methods for Partial Differential Equations
publication date: 2023-12-12T00:00:00Z
Mathematics Subject Classification ID: 65-XX
Mathematics Subject Classification ID: 35-XX
zbMATH DE Number: 7776004
zbMATH Keywords: American-style options
zbMATH Keywords: Greeks
zbMATH Keywords: linear complementarity problems
zbMATH Keywords: multiresolution analysis
zbMATH Keywords: operational matrices
zbMATH Keywords: spiked payoffs
zbMATH Keywords: wavelet transform
MaRDI profile type: MaRDI publication profile
full work available at URL: num.22568
OpenAlex ID: W3093961457
Wikidata QID: Q115397757
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DOI: 10.1002/NUM.22568
description: scientific article; zbMATH DE number 7776004