A projected algebraic multigrid method for linear complementarity problems
linear complementarity problemobstacle problemsalgebraic multigridfinancial engineeringamerican options
Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Existence theories for optimal control problems involving partial differential equations (49J20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- scientific article; zbMATH DE number 5050164
- scientific article; zbMATH DE number 47461
- An iterative two-step algorithm for linear complementarity problems
- Algebraic multigrid methods for constrained linear systems with applications to contact problems in solid mechanics
- scientific article; zbMATH DE number 47461 (Why is no real title available?)
- ADI schemes for pricing American options under the Heston model
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- A fast numerical method to price American options under the Bates model
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
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