MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS
DOI10.14317/jami.2013.769zbMath1274.65248OpenAlexW2149108850MaRDI QIDQ2855158
Publication date: 24 October 2013
Published in: Journal of applied mathematics & informatics (Search for Journal in Brave)
Full work available at URL: http://www.kcam.biz./contents/table_contents_view.php?idx=1468&Len
linear complementarity problemBlack-Scholes modelAmerican option\(H_+\)-matrixmodulus-based successive overrelaxationprojected successive overrelaxaion
Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Complexity and performance of numerical algorithms (65Y20)
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