A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis - researchr publication

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Xin Wen, Haiming Song, Yutian Li, Zihan Gao. A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis. Comput. Appl. Math., 43(6):345, September 2024. [doi]

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