A fixed point method for the linear complementarity problem arising from American option pricing
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Publication:519227
DOI10.1007/s10255-016-0613-6zbMath1358.90141OpenAlexW2524964978MaRDI QIDQ519227
Xian-Jun Shi, Zheng-Hai Huang, Lei Yang
Publication date: 4 April 2017
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-016-0613-6
Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)
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