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Pricing American Stock Options by Linear Programming
Home
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Pricing American Stock Options by Linear Programming
Pricing American Stock Options by Linear Programming
MD
M. A. H. Dempster
M. A. H. Dempster
JH
J. P. Hutton
J. P. Hutton
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1 July 1999
journal article
Published by
Wiley
in
Mathematical Finance
Vol. 9
(3)
,
229-254
https://doi.org/10.1111/1467-9965.00069
Abstract
No abstract available
Keywords
AMERICAN OPTIONS
LOOKBACK OPTIONS
PARABOLIC PDE'S
LINEAR ORDER COMPLEMENTARITY
LEAST ELEMENTS
LINEAR PROGRAMMING
SIMPLEX METHOD
INTERIOR POINT METHOD
PSOR
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