An efficient numerical method for pricing a Russian option with a finite time horizon

Cen, ZD; Le, AB

Le, AB (corresponding author), ZhejiangWanli Univ, Inst Math, Ningbo 315100, Zhejiang, Peoples R China.

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, ; ():

Abstract

In this paper, we present a finite difference scheme for a linear complementarity problem with a mixed boundary condition arising from pricing a Russi......

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