An efficient numerical method for the valuation of American multi-asset options (Q2204166)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient numerical method for the valuation of American multi-asset options |
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An efficient numerical method for the valuation of American multi-asset options (English)
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15 October 2020
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American multi-asset options
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linear complementarity problem
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far-field boundary estimate
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finite element method
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projection and contraction method
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