American Options in an Illiquid Market: Nonlinear Complementary Method (Q5274994)
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scientific article; zbMATH DE number 6740802
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American Options in an Illiquid Market: Nonlinear Complementary Method |
scientific article; zbMATH DE number 6740802 |
Statements
American Options in an Illiquid Market: Nonlinear Complementary Method (English)
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7 July 2017
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nonlinear complementary problem
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nonsmooth equations
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American options
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liquidity
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regime switching
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finite differences
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theta method
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B-derivative
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semismooth Newton method
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