DOI10.1145/357456.2181zbMath0518.90085OpenAlexW2295470351MaRDI QIDQ3668333
No author found.
Publication date: 1983
Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/357456.2181
Improving projected successive overrelaxation method for linear complementarity problems,
Direct algorithm for the solution of two-sided obstacle problems with M -matrix,
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY,
A penalty method for American options with jump diffusion processes,
On American Options Under the Variance Gamma Process,
An inexact alternating direction method of multipliers for the solution of linear complementarity problems arising from free boundary problems,
Gaussian pivoting method for solving linear complementarity problem,
Haar‐wavelet based approximation for pricing American options under linear complementarity formulations,
Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.,
A polynomial-time algorithm for the tridiagonal and Hessenberg P-matrix linear complementarity problem,
A comparison of iterated optimal stopping and local policy iteration for American options under regime switching,
Tridiagonal matrices with dominant diagonals and applications,
Conjugate gradient method for the linear complementarity problem withs-matrix,
A `moving index' method for the solution of the American options valuation problem,
An alternating direction implicit algorithm for the solution of linear complementarity problems arising from free boundary problems,
Basic-set algorithm for a generalized linear complementarity problem
