0410880 20240103182246.020060210235959.9 10 s. 61 (2002)57-66 iterative algorithm American option pricing linear complementary problems cav_un_auth*0101131 Kočvara Michal UTIA-B Department of Decision Making Theory Ústav teorie informace a automatizace AV ČR, v. v. i. 12C IAA1075005 GA AV ČR cav_un_auth*0012782 CEZ:AV0Z1075907 We propose a new algorithm for solving European and American option pricing, formulated as complementarity problem. BA MTR http://hdl.handle.net/11104/0130967 UTIA-B 20020094 2002 Solutions Roč. 6 č. 1 2002 57 66