Pricing American options using LU decomposition (Q5453896)
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scientific article; zbMATH DE number 5257361
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| English | Pricing American options using LU decomposition |
scientific article; zbMATH DE number 5257361 |
Statements
3 April 2008
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American option
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time discretization
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linear complementarity problem
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Brennan and Schwartz algorithm
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Elliott-Ockendon algorithm
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direct method
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LU decomposition
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0.8034602403640747
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0.7887639403343201
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0.7876073718070984
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0.7835190296173096
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