A fixed point method for the linear complementarity problem arising from American option pricing (Q519227): Difference between revisions

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-.1007/s10255-016-0613-6
@@ Property / DOI: 10.1007/s10255-016-0613-6 / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Q4003375
@@ Property / cites work: Q4003375 / rank @@
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+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+A Fast Numerical Method for the Black--Scholes Equation of American Options
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+Operator splitting methods for American option pricing.
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+COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
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+Efficient numerical methods for pricing American options under stochastic volatility
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+Variational inequalities and the pricing of American options
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+Improving projected successive overrelaxation method for linear complementarity problems
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+Tools for computational finance
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+A fast high-order finite difference algorithm for pricing American options
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+Q5342712
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+Compact finite difference method for American option pricing
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+Penalty methods for American options with stochastic volatility
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@@ Property / DOI @@
+.1007/S10255-016-0613-6
@@ Property / DOI: 10.1007/S10255-016-0613-6 / rank @@
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