Using a meshless kernel-based method to solve the Black–Scholes variational inequality of American options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/article/10.1007/s40314-016-0351-7/fulltext.html
Reference20 articles.
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2. Cottle RW, Pang JS, Stone RE (2009) The Linear Complementarity Problem. Society for Industrial and Applied Mathematics, Classics in Applied Mathematics
3. Cox John C, Ross Stephen A, Mark Rubenstein (1979) Option pricing: a simplified approach. J Finan Econ 7:229–263
4. Dehghan M, Tatari M (2006) Determination of a control parameter in a one-dimensional parabolic equation using the method of radial basis functions. Math Comp Model 44(11–12):1160–1168
5. Desmond JH (2002) Nine ways to implement the binomial method for option valuation in MATLAB. SIAM Rev 44(4):661–677 [(electronic) (2003)]
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