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~person:"Hessing, Jean-Claude"
~subject:"Mathematische Optimierung"
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Hessing, Jean-Claude
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Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude
;
Lange, Rutger-Jan
;
Ralph, Daniel
-
2022
convergence bounds. For jump-diffusion processes, dense matrix factorisation may be avoided by using a suitable operator-
splitting
…
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