A direct LU solver for pricing American bond options under Hull-White model (Q313650)
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scientific article; zbMATH DE number 6626261
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A direct LU solver for pricing American bond options under Hull-White model |
scientific article; zbMATH DE number 6626261 |
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A direct LU solver for pricing American bond options under Hull-White model (English)
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12 September 2016
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American bond options
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interest rate models
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Crank-Nicolson method
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linear complementarity problem
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LU decomposition
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