On the solution of complementarity problems arising in American options pricing (Q3096882)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the solution of complementarity problems arising in American options pricing |
scientific article |
Statements
On the solution of complementarity problems arising in American options pricing (English)
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15 November 2011
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American options pricing
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linear complementarity
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projected SOR method
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