On the solution of complementarity problems arising in American options pricing
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Control and Optimization,Software
Link
http://www.tandfonline.com/doi/pdf/10.1080/10556788.2010.514341
Reference16 articles.
1. Fast solutions of complementarity formulations in American put pricing
2. The Valuation of American Put Options
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