Augmented Lagrangian method applied to American option pricing (Q2507936)

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Augmented Lagrangian method applied to American option pricing
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    title
    Augmented Lagrangian method applied to American option pricing (English)
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    author
    Kai Zhang
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    Xiao Qi Yang
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    Kok Lay Teo
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    published in
    Automatica
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    publication date
    5 October 2006
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    Mathematics Subject Classification ID
    91G60
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    90C30
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    91G20
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    zbMATH DE Number
    5060796
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    zbMATH Keywords
    finance
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    complementarity problems
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    computational methods
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