Semismooth Newton methods with domain decomposition for American options

Author:

Zhao Hong-Jie,Yang Haijian

Funder

National Natural Science Foundation of China

LASG

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference37 articles.

1. Computational Methods for Option Pricing;Achdou,2005

2. Engineering and economic applications of complementarity problems;Ferris;SIAM Rev.,1997

3. Finite-dimensional variational inequality and nonlinear complementarity problems: a survey of theory, algorithms and applications;Harker;Math. Program.,1990

4. Mathematical Models of Financial Derivatives;Yue-Kuen,2008

5. The valuation of American put option;Merton;J. Finance,1977

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