On power penalty methods for linear complementarity problems arising from American option pricing (Q496599)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On power penalty methods for linear complementarity problems arising from American option pricing |
scientific article |
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On power penalty methods for linear complementarity problems arising from American option pricing (English)
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22 September 2015
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American option pricing
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linear complementarity problem
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penalized equations
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iterative method
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monotone convergence
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