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

@@ Property / DOI @@
-.1007/s10255-016-0613-6
@@ Property / DOI: 10.1007/s10255-016-0613-6 / rank @@
-Normal rank
@@ Property / author @@
-Lei Yang
@@ Property / author: Lei Yang / rank @@
-Normal rank
@@ Property / author @@
+Lei Yang
@@ Property / author: Lei Yang / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C33
@@ Property / Mathematics Subject Classification ID: 90C33 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+N06
@@ Property / Mathematics Subject Classification ID: 65N06 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6700439
@@ Property / zbMATH DE Number: 6700439 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American option pricing
@@ Property / zbMATH Keywords: American option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite difference method
@@ Property / zbMATH Keywords: finite difference method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fixed point method
@@ Property / zbMATH Keywords: fixed point method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+linear complementarity problem
@@ Property / zbMATH Keywords: linear complementarity problem / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10255-016-0613-6
+Normal rank
@@ Property / OpenAlex ID @@
+W2524964978
@@ Property / OpenAlex ID: W2524964978 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4003375
@@ Property / cites work: Q4003375 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
+Normal rank
@@ Property / cites work @@
+Efficient numerical methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Variational inequalities and the pricing of American options
+Normal rank
@@ Property / cites work @@
+Improving projected successive overrelaxation method for linear complementarity problems
+Normal rank
@@ Property / cites work @@
+Tools for computational finance
@@ Property / cites work: Tools for computational finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q2704186
@@ Property / cites work: Q2704186 / rank @@
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
+Normal rank
@@ Property / cites work @@
+Q5342712
@@ Property / cites work: Q5342712 / rank @@
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+Compact finite difference method for American option pricing
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / DOI @@
+.1007/S10255-016-0613-6
@@ Property / DOI: 10.1007/S10255-016-0613-6 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:519227