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Primal-dual active set method for pricing American better-of option on two assets.

Yu GaoHaiming SongXiaoshen WangKai Zhang
Published in: Commun. Nonlinear Sci. Numer. Simul. (2020)
Keyphrases
  • linear programming
  • clustering method
  • convergence rate
  • image processing
  • computational complexity
  • object recognition
  • feature space
  • support vector machine
  • interior point methods
  • interior point algorithm