| bibtype |
J -
Journal Article
|
| ARLID |
0410880 |
| utime |
20240103182246.0 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
A fast iterative algorithm for American option pricing |
| specification |
|
| serial |
| title
|
Solutions |
| volume_id |
6 |
| volume |
1 (2002) |
| page_num |
57-66 |
|
| keyword |
iterative algorithm |
| keyword |
American option pricing |
| keyword |
linear complementary problems |
| author
(primary) |
| 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 |
12C |
| cas_special |
| project |
| project_id |
IAA1075005 |
| agency |
GA AV ČR |
| ARLID |
cav_un_auth*0012782 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
We propose a new algorithm for solving European and American option pricing, formulated as complementarity problem. |
| RIV |
BA |
| department |
MTR |
| permalink |
http://hdl.handle.net/11104/0130967 |
| ID_orig |
UTIA-B 20020094 |
| arlyear |
2002 |
| mrcbU63 |
Solutions Roč. 6 č. 1 2002 57 66 |
|