On the solution of complementarity problems arising in American options pricing (Q3096882)
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scientific article; zbMATH DE number 5971709
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| English | On the solution of complementarity problems arising in American options pricing |
scientific article; zbMATH DE number 5971709 |
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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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0.9174788
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0.9037226
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0.9022959
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0.90085286
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0.8972178
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0.89539456
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