MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS (Q2855158)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS |
scientific article |
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MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS (English)
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24 October 2013
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American option
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Black-Scholes model
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linear complementarity problem
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\(H_+\)-matrix
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modulus-based successive overrelaxation
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projected successive overrelaxaion
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