An upwind approach for an American and European option pricing model (Q1294336)
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scientific article; zbMATH DE number 1311134
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An upwind approach for an American and European option pricing model |
scientific article; zbMATH DE number 1311134 |
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An upwind approach for an American and European option pricing model (English)
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29 June 1999
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option pricing
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Black-Scholes equation
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linear complementarity problems
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Uzawa's algorithm
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