A projected algebraic multigrid method for linear complementarity problems
algebraic multigridamerican optionsfinancial engineeringlinear complementarity problemobstacle problems
Existence theories for optimal control problems involving partial differential equations (49J20) Numerical optimization and variational techniques (65K10) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- scientific article; zbMATH DE number 5050164
- scientific article; zbMATH DE number 47461
- An iterative two-step algorithm for linear complementarity problems
- Algebraic multigrid methods for constrained linear systems with applications to contact problems in solid mechanics
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- scientific article; zbMATH DE number 47461 (Why is no real title available?)
- ADI schemes for pricing American options under the Heston model
- A fast numerical method to price American options under the Bates model
- A novel parallel approach for solving some free boundary value problems
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