An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver (Q3083228)
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scientific article; zbMATH DE number 5868637
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| English | An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver |
scientific article; zbMATH DE number 5868637 |
Statements
An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver (English)
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21 March 2011
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American options
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parabolic free boundary problem
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inverse problem
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MPECs
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optimality conditions
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active-set-Newton solver
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0.805019199848175
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0.7837063074111938
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0.7723881006240845
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0.7670882940292358
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0.763950526714325
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