scientific article; zbMATH DE number 2104089

zbMath1104.91031MaRDI QIDQ4818454

M. M. Chawla

Publication date: 28 September 2004

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

zbMATH Keywords

linear complementarity problemAmerican optionsCrank-Nicolson methodEuropean options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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