Modulus-based successive overrelaxation method for pricing American options (Q2855158)
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scientific article; zbMATH DE number 6219448
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modulus-based successive overrelaxation method for pricing American options |
scientific article; zbMATH DE number 6219448 |
Statements
24 October 2013
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American option
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Black-Scholes model
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linear complementarity problem
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\(H_+\)-matrix
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modulus-based successive overrelaxation
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projected successive overrelaxaion
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0.9175545
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0.8777579
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0.8714372
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Modulus-based successive overrelaxation method for pricing American options (English)
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