"A primal-dual active set approach to the valuation of American options in ..."

Xin Wen et al. (2024)

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DOI: 10.1007/S40314-024-02862-9

access: closed

type: Journal Article

metadata version: 2024-08-22

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Xin Wen, Haiming Song, Yutian Li, Zihan Gao:
A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis. Comput. Appl. Math. 43(6): 345 (2024)

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