A `moving index' method for the solution of the American options valuation problem

DOI10.1016/S0378-4754(00)00176-2zbMath0973.91068OpenAlexW2088477956WikidataQ126324111 ScholiaQ126324111MaRDI QIDQ1840903

M. D. Koulisianis, Theodore S. Papatheodorou

Publication date: 10 December 2001

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(00)00176-2

zbMATH Keywords

American options valuation problemmoving index methodprojected successive over relaxation method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Improving projected successive overrelaxation method for linear complementarity problems ⋮ A `moving index' method for the solution of the American options valuation problem

Cites Work

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• On the solution of large, structured linear complementarity problems: the block partitioned case
• Front-tracking finite difference methods for the valuation of American options
• A `moving index' method for the solution of the American options valuation problem
• The Linear Complementarity Problem
• Minkowski matrices.

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