On multigrid for linear complementarity problems with application to American-style options (Q1407712)
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scientific article; zbMATH DE number 1982988
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On multigrid for linear complementarity problems with application to American-style options |
scientific article; zbMATH DE number 1982988 |
Statements
On multigrid for linear complementarity problems with application to American-style options (English)
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17 September 2003
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linear complementarity problems
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American-style options
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nonlinear multigrid
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projected Gauss-Seidel
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iterant recombination
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second-order upwind discretizations
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convection-diffusion equation
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numerical examples
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convergence
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