On power penalty methods for linear complementarity problems arising from American option pricing (Q496599)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On power penalty methods for linear complementarity problems arising from American option pricing |
scientific article; zbMATH DE number 6484161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On power penalty methods for linear complementarity problems arising from American option pricing |
scientific article; zbMATH DE number 6484161 |
Statements
On power penalty methods for linear complementarity problems arising from American option pricing (English)
0 references
22 September 2015
0 references
American option pricing
0 references
linear complementarity problem
0 references
penalized equations
0 references
iterative method
0 references
monotone convergence
0 references
0 references
0 references
0 references
