Pricing American stock options by linear programming (Q2757302)
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scientific article; zbMATH DE number 1676817
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American stock options by linear programming |
scientific article; zbMATH DE number 1676817 |
Statements
26 November 2001
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american options
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lookback options
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parabolic PDE's
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linear order complementarity
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least elements
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linear programming
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simplex method
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interior point method
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PSOR
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Pricing American stock options by linear programming (English)
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