Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines

DOI10.1080/03155986.2004.11732688zbMath1521.90111OpenAlexW2404341090MaRDI QIDQ6039354

Unnamed Author, Michel Denault

Publication date: 5 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03155986.2004.11732688

zbMATH Keywords

option pricingAmerican optionslinear complementarity problem (LCP)pivoting algorithms

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)

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