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Howard's algorithm for high-order approximations of American options under jump-diffusion models.

Nawdha ThakoorDhiren Kumar BeheraDésiré Yannick TangmanMuddun Bhuruth
Published in: Int. J. Data Sci. Anal. (2020)
Keyphrases
  • high order
  • dynamic programming
  • computational complexity
  • objective function
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  • low order
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  • user preferences
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  • tensor analysis