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"A direct LU solver for pricing American bond options under Hull-White model."

Antonio Falcó, Lluis Navarro, Carlos Vázquez (2017)

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DOI: 10.1016/J.CAM.2016.05.003

access: open

type: Journal Article

metadata version: 2021-02-16

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  - journals/jcam/FalcoNV17
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  - https://dblp.org/rec/journals/jcam/FalcoNV17
Antonio Falcó, Lluis Navarro, Carlos Vázquez:
A direct LU solver for pricing American bond options under Hull-White model. J. Comput. Appl. Math. 309: 442-455 (2017)

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