A fast numerical method for the valuation of American...

Communications in Nonlinear Science and Numerical Simulation 2015 / 10 Vol. 27; Iss. 1-3

A fast numerical method for the valuation of American lookback put options

Song, Haiming, Zhang, Qi, Zhang, Ran
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Volume:
27
Language:
english
Journal:
Communications in Nonlinear Science and Numerical Simulation
DOI:
10.1016/j.cnsns.2015.03.010
Date:
October, 2015
File:
PDF, 454 KB
english, 2015
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