A. Falcó, Lluis Navarro, Carlos Vázquez. A direct LU solver for pricing American bond options under Hull-White model. J. Computational Applied Mathematics, 309:442-455, 2017. [doi]
@article{FalcoNV17,
title = {A direct LU solver for pricing American bond options under Hull-White model},
author = {A. Falcó and Lluis Navarro and Carlos Vázquez},
year = {2017},
doi = {10.1016/j.cam.2016.05.003},
url = {http://dx.doi.org/10.1016/j.cam.2016.05.003},
researchr = {https://researchr.org/publication/FalcoNV17},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {309},
pages = {442-455},
}