scientific article

DOI10.3969/J.ISSN.1006-6330.2016.03.001zbMath1389.91133MaRDI QIDQ2983715

Ning Wang, Jun-Feng Yin

Publication date: 17 May 2017

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

linear complementarity problemsoverrelaxation iteration methodtwo-asset American option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10)

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