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Numerical valuation of American basket options via partial differential complementarity problems.
Karel J. in 't Hout
Jacob Snoeijer
Published in:
CoRR (2021)
Keyphrases
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complementarity problems
variational inequalities
sensitivity analysis
interior point
linear complementarity problem
semidefinite
linear programming
least squares
optimal solution
cooperative
linear combination
linear program
convex sets
real option