scientific article; zbMATH DE number 2110458

zbMATH Open1066.91043MaRDI QIDQ4822982FDOQ4822982

M. D. Koulisianis, Theodore S. Papatheodorou

Publication date: 26 October 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

direct methodsProjected Successive OverRelaxation (PSOR)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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• Title not available (Why is that?)
• A `moving index' method for the solution of the American options valuation problem

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