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Code for Brennan-Schwartz LU Decomposition
Hello! I was reading this paper: Pricing American Options Using LU Decomposition. There was a section with pseudocode, but I'm s...
6 years 前 | 0 个回答 | 0
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Code for Hull-White LU Decomposition
Hello! I'm reading this paper: A direct LU solver for pricing American bond options under Hull–White model . I was wondering if ...
6 years 前 | 0 个回答 | 0