A `moving index' method for the solution of the American options valuation problem

DOI10.1016/S0378-4754(00)00176-2zbMATH Open0973.91068OpenAlexW2088477956WikidataQ126324111 ScholiaQ126324111MaRDI QIDQ1840903FDOQ1840903

Authors: M. D. Koulisianis, Theodore S. Papatheodorou 

Publication date: 10 December 2001

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(00)00176-2

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zbMATH Keywords

American options valuation problemmoving index methodprojected successive over relaxation method

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

• Title not available (Why is that?)
• The Linear Complementarity Problem
• On the solution of large, structured linear complementarity problems: the block partitioned case
• Minkowski matrices.
• Front-tracking finite difference methods for the valuation of American options
• Title not available (Why is that?)
• A `moving index' method for the solution of the American options valuation problem

Cited In (4)

• Title not available (Why is that?)
• A `moving index' method for the solution of the American options valuation problem
• A moving boundary approach to American option pricing
• Improving projected successive overrelaxation method for linear complementarity problems

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