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"On the solution of complementarity problems arising in American options ..."

Liming Feng et al. (2011)

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DOI: 10.1080/10556788.2010.514341

access: closed

type: Journal Article

metadata version: 2020-09-24

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Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal:
On the solution of complementarity problems arising in American options pricing. Optim. Methods Softw. 26(4-5): 813-825 (2011)

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