A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach
Year of publication: |
2006
|
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Authors: | Khaliq, A.Q.M. ; Voss, D.A. ; Kazmi, S.H.K. |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 30.2006, 2, p. 489-502
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Publisher: |
Elsevier |
Saved in:
Online Resource
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