Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
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Publication:6087702
DOI10.1002/num.22568OpenAlexW3093961457WikidataQ115397757 ScholiaQ115397757MaRDI QIDQ6087702
Publication date: 12 December 2023
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.22568
multiresolution analysiswavelet transformlinear complementarity problemsoperational matricesGreeksAmerican-style optionsspiked payoffs
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Cites Work
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