An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver (Q3083228)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver |
scientific article |
Statements
An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver (English)
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21 March 2011
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American options
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parabolic free boundary problem
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inverse problem
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MPECs
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optimality conditions
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active-set-Newton solver
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