Code for Brennan-Schwartz LU Decomposition
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Hello! I was reading this paper: Pricing American Options Using LU Decomposition. There was a section with pseudocode, but I'm still having a lot of trouble determining what each of the variables are supposed to be. If anyone has a full working code for this, or any kind of help with implementing this pseudocode, I would really appreciate it, Thank you!
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Dhananjay Kumar
on 5 Dec 2019
Hi,
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on 3 Dec 2019
on 5 Dec 2019
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