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A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis.

Xin WenHaiming SongYutian LiZihan Gao
Published in: Comput. Appl. Math. (2024)
Keyphrases
  • primal dual
  • convergence analysis
  • numerical solution
  • interior point
  • linear programming
  • convergence rate
  • approximation algorithms
  • search algorithm
  • differential equations
  • interior point methods
  • global convergence