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"Primal-dual active set method for pricing American better-of option on two ..."

Yu Gao et al. (2020)

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DOI: 10.1016/J.CNSNS.2019.104976

access: closed

type: Journal Article

metadata version: 2020-07-13

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Yu Gao, Haiming Song, Xiaoshen Wang, Kai Zhang:
Primal-dual active set method for pricing American better-of option on two assets. Commun. Nonlinear Sci. Numer. Simul. 80: 104976 (2020)

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