scientific article; zbMATH DE number 1070523

zbMath0882.65118MaRDI QIDQ4357031

Elias N. Houstis, K. N. Pantazopoulos

Publication date: 5 October 1997

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

zbMATH Keywords

linear complementarityBlack-Scholes modelpricing of derivative securitiesAmerican style optionsfront-tracking solutionsfree boundary parabolic partial differential problem

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Free boundary problems for PDEs (35R35) Applications to the sciences (65Z05) Initial value problems for second-order parabolic equations (35K15)

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