Pricing American stock options by linear programming
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linear programminginterior point methodsimplex methodleast elementslookback optionsparabolic PDE'samerican optionslinear order complementarityPSOR
Derivative securities (option pricing, hedging, etc.) (91G20) Interior-point methods (90C51) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
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