An Algorithm for Linear Complementarity and its Application in American Options Pricing (Q5851657)
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scientific article; zbMATH DE number 5662030
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Algorithm for Linear Complementarity and its Application in American Options Pricing |
scientific article; zbMATH DE number 5662030 |
Statements
An Algorithm for Linear Complementarity and its Application in American Options Pricing (English)
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22 January 2010
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numerical analysis
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Gauss-Seidel
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reduced-space steps
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option pricing
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