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Pricing American Options Using LU Decomposition

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References

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1998Option pricing and linear complementarity95 cited

Cited by

2009A Componentwise Splitting Method for Pricing American Options Under the Bates Model32 cited
2013Iterative Methods for Pricing American Options under the Bates Model25 cited
2012Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models23 cited