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## Application of numerical computation of American optionsAuthor: WuQiangTutor: ZhangJiZhou School: Shanghai Normal University Course: Applied Mathematics Keywords: American options Self-financing continuation region no arbitrary principle Ito lemma compound option slip method SOR method artificial boundary method maximum princi-ple early exercise boundary optimal stop problem Arbitrage Richardson extrapolation Portfolio variational inequality penalty problem CLC: F224 Type: Master's thesis Year: 2006 Downloads: 382 Quote: 2 Read: Download Dissertation ## Abstract
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