An Algorithm for Linear Complementarity and its Application in American Options Pricing

DOI10.1063/1.3241350zbMath1182.91196OpenAlexW1568407852MaRDI QIDQ5851657

Vadim Linetsky, José Luis Morales, Liming Feng, Nocedal, Jorge

Publication date: 22 January 2010

Published in: AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.3241350

zbMATH Keywords

option pricingnumerical analysisGauss-Seidelreduced-space steps

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) Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05)