On power penalty methods for linear complementarity problems arising from American option pricing (Q496599)
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scientific article; zbMATH DE number 6484161
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| English | On power penalty methods for linear complementarity problems arising from American option pricing |
scientific article; zbMATH DE number 6484161 |
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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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0.9162907004356384
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0.8837313652038574
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0.8354889750480652
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0.8331629037857056
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0.8316611051559448
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