A direct LU solver for pricing American bond options under Hull–White model

  1. Falcó, A.
  2. Navarro, L.
  3. Vázquez, C.
Journal:
Journal of Computational and Applied Mathematics

ISSN: 0377-0427

Year of publication: 2017

Volume: 309

Pages: 442-455

Type: Article

DOI: 10.1016/J.CAM.2016.05.003 GOOGLE SCHOLAR lock_openOpen access editor