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Publication:2992840
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DOI10.13413/j.cnki.jdxblxb.2015.06.14zbMath1349.91318MaRDI QIDQ2992840

Wenwen Zhao, Yuan Yuan, Benxi Zhu, Xianrui Lü

Publication date: 10 August 2016


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

finite difference methodprediction-correction methodAmerican option


Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)





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