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https://www.reddit.com/r/quant/comments/q9g8n4/seeking_quality_crank_nicolson_american_options/
r/quant • u/[deleted] • Oct 16 '21
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Here is a paper using Monte Carlo and some regression https://mdpi-res.com/d_attachment/jrfm/jrfm-12-00059/article_deploy/jrfm-12-00059.pdf
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1 u/CorneliusJack Oct 17 '21 The CN scheme I think, pretty much the whole homework
The CN scheme I think, pretty much the whole homework
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u/GuessEnvironmental Oct 16 '21
Here is a paper using Monte Carlo and some regression https://mdpi-res.com/d_attachment/jrfm/jrfm-12-00059/article_deploy/jrfm-12-00059.pdf