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. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 30.2006, 2, p. 489-502
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