| bibtype |
J -
Journal Article
|
| ARLID |
0410539 |
| utime |
20240103182221.1 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
An iterative two-step algorithm for American option pricing |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0329120 |
| ISSN |
0953-0061 |
| title
|
IMA Journal of Mathematics Applied in Business and Industry |
| volume_id |
11 |
| volume |
2 (2000) |
| page_num |
71-84 |
|
| keyword |
American option pricing |
| keyword |
linear complementarity |
| keyword |
iterative methods |
| author
(primary) |
| ARLID |
cav_un_auth*0212749 |
| name1 |
Siddiqi |
| name2 |
A. H. |
| country |
SA |
|
| author
|
| ARLID |
cav_un_auth*0212479 |
| name1 |
Manchanda |
| name2 |
P. |
| country |
IN |
|
| author
|
| ARLID |
cav_un_auth*0101131 |
| name1 |
Kočvara |
| name2 |
Michal |
| institution |
UTIA-B |
| full_dept |
Department of Decision Making Theory |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
05D |
| COSATI |
12C |
| cas_special |
| project |
| project_id |
IAA1075707 |
| agency |
GA AV ČR |
| ARLID |
cav_un_auth*0012793 |
|
| research |
AV0Z1075907 |
| abstract
(eng) |
In this paper we discuss the application of a very efficient algorithm proposed recently by Kočvara and Zowe to American option pricing. Modelling and numerical simulation of options depending on the history of underlying asset price, inflation and devaluation by evolution equations and inequalities with hysteresis are proposed. |
| RIV |
AH |
| department |
MTR |
| permalink |
http://hdl.handle.net/11104/0130628 |
| ID_orig |
UTIA-B 20010008 |
| arlyear |
2000 |
| mrcbU63 |
cav_un_epca*0329120 IMA Journal of Mathematics Applied in Business and Industry 0953-0061 Roč. 11 č. 2 2000 71 84 |
|