A `moving index' method for the solution of the American options valuation problem
type: Item
instance of: scholarly article
title: A `moving index' method for the solution of the American options valuation problem
zbMATH Open document ID: 0973.91068
DOI: 10.1016/S0378-4754(00)00176-2
author: M. D. Koulisianis
author: Theodore S. Papatheodorou
published in: Mathematics and Computers in Simulation
publication date: 2001-12-10T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 90C33
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 1567198
zbMATH Keywords: moving index method
zbMATH Keywords: American options valuation problem
zbMATH Keywords: projected successive over relaxation method
MaRDI profile type: Publication
cites work: Q4356580
cites work: On the solution of large, structured linear complementarity problems: the block partitioned case
cites work: The Linear Complementarity Problem
cites work: Minkowski matrices.
cites work: Q3933378
cites work: Front-tracking finite difference methods for the valuation of American options
Wikidata QID: Q126324111
full work available at URL: s0378-4754(00)00176-2
OpenAlex ID: W2088477956
description: scientific article; zbMATH DE number 1567198