Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
Work
Year: 2023
Type: article
Abstract: An American exchange option is a rainbow option with two underlying assets, whose pricing model is a two-dimensional free boundary problem and is equivalent to a parabolic variational inequality probl... more
Authors Xin Wen, Haiming Song, Rui Zhang, Yutian Li
Cites: 28
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Open Access status: bronze