Code for Brennan-Schwartz LU Decomposition

2019 12 3
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更新时间：2019 12 5
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Hello! I was reading this paper: Pricing American Options Using LU Decomposition. There was a section with pseudocode, but I'm still having a lot of trouble determining what each of the variables are supposed to be. If anyone has a full working code for this, or any kind of help with implementing this pseudocode, I would really appreciate it, Thank you!

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