Code for Hull-White LU Decomposition

2019 12 月 3
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Hello! I'm reading this paper: A direct LU solver for pricing American bond options under Hull–White model . I was wondering if anyone has the MATLAB code for the LU decomposition? I find trying to work this out alone really challenging as an undergraduate, so any kind of help would be really appreciated!

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Eugenia Dewanti
Eugenia Dewanti
2019 年 12 月 3 日

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