Pricing American put options by fast solutions of the linear complementarity problem
Year of publication: |
2010
|
---|---|
Authors: | Borici, Artan ; Lüthi, Hans-Jakob |
Published in: |
Computational methods in decision-making, economics and finance. - Drodrecht [u.a.] : Kluwer Academic Pub, ISBN 978-1-4419-5230-1. - 2010, p. 325-338
|
Subject: | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Mathematische Optimierung | Mathematical programming |
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