On the solution of complementarity problems arising in American options pricing (Q3096882): Difference between revisions

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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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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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+An algorithm for the fast solution of symmetric linear complementarity problems
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+Q4414855
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+The Mathematics of Financial Derivatives
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+Q5691079
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+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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