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