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Howard’s algorithm for high-order approximations of American options under jump-diffusion models
Thakoor, Nawdha, Behera, Dhiren Kumar, Tangman, Désiré Yannick, Bhuruth, MuddunLanguage:
english
Journal:
International Journal of Data Science and Analytics
DOI:
10.1007/s41060-018-00173-x
Date:
January, 2019
File:
PDF, 536 KB
english, 2019