A fixed point method for the linear complementarity problem arising from American option pricing
type: Item
instance of: scholarly article
title: A fixed point method for the linear complementarity problem arising from American option pricing
zbMATH Open document ID: 1358.90141
author: Xian-Jun Shi
author: Zhenghai Huang
author: Lei Yang
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 2017-04-04T00:00:00Z
Mathematics Subject Classification ID: 90C33
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65N06
zbMATH DE Number: 6700439
zbMATH Keywords: American option pricing
zbMATH Keywords: finite difference method
zbMATH Keywords: fixed point method
zbMATH Keywords: linear complementarity problem
MaRDI profile type: Publication
full work available at URL: s10255-016-0613-6
OpenAlex ID: W2524964978
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DOI: 10.1007/S10255-016-0613-6
description: scientific article; zbMATH DE number 6700439