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

Antonio Falcó Lluis Navarro Carlos Vázquez

Published in: J. Comput. Appl. Math. (2017)

Keyphrases

hidden markov models
probabilistic model
formal model
neural network
mathematical model
cost function
theoretical analysis
statistical model
sensitivity analysis
information retrieval
high level
multi agent
state space
computational model
united states
simulation model