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Primal-dual active set method for evaluating American put options on zero-coupon bonds

Published Online: 2024-04-29

Published Print: 2024-06

Authors

Zhang, Qi

Wang, Qi

Song, Haiming https://orcid.org/0000-0001-7163-8894
Hao, Yongle
Funding

Funding for this research was provided by:

Education department project of Liaoning Province (LJKMZ20220484)

Education department project of Jilin Province (JJKH20211031KJ)

National Natural Science Foundation of China (11901606)
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Text and Data Mining valid from 2024-04-29

Version of Record valid from 2024-04-29
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Article History

Received: 24 June 2023

Revised: 18 March 2024

Accepted: 30 March 2024

First Online: 29 April 2024

Declarations

:

: All authors declare that they have no conflict of interest.

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