Valuation of American passport option using a three-time level scheme-Reference-Cited by-同舟云学术

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Valuation of American passport option using a three-time level scheme

Published:2019-03-05 Issue:2 Volume:38 Page:
ISSN:2238-3603
Container-title:Computational and Applied Mathematics
language:en
Short-container-title:Comp. Appl. Math.

Author:

Kanaujiya Ankur,Chakrabarty Siddhartha P.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s40314-019-0785-9.pdf

Reference18 articles.

1. Andersen L, Andreasen J, Brotherton-Ratcliffe R (1998) The passport option. J Comput Finance 1(3):15–36

2. Bawa RK, Natesan S (2009) An efficient hybrid numerical scheme for convection-dominated boundary-value problems. Int J Comput Math 86(2):261–273

3. Borici A, Luthi H (2005) Fast solutions of complementarity formulations in American put pricing. J Comput Finance. https://doi.org/10.21314/JCF.2005.126

4. Chan SS (1999) The valuation of American passport options. University of Wisconsin-Madison. Working Paper

5. Cryer CW (1971) The solution of a quadratic programming problem using systematic over relaxation. SIAM J Control 9(3):385–392

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing passport option using higher order compact scheme;Computational and Mathematical Methods;2021-10-20

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