On multigrid for linear complementarity problems with application to American-style options.
ETNA. Electronic Transactions on Numerical Analysis [electronic only] (2003)
- Volume: 15, page 165-185
- ISSN: 1068-9613
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topOosterlee, C.W.. "On multigrid for linear complementarity problems with application to American-style options.." ETNA. Electronic Transactions on Numerical Analysis [electronic only] 15 (2003): 165-185. <http://eudml.org/doc/123267>.
@article{Oosterlee2003,
author = {Oosterlee, C.W.},
journal = {ETNA. Electronic Transactions on Numerical Analysis [electronic only]},
keywords = {linear complementarity problems; American-style options; nonlinear multigrid; projected Gauss-Seidel; iterant recombination; second-order upwind discretizations; convection-diffusion equation; numerical examples; convergence},
language = {eng},
pages = {165-185},
publisher = {Kent State University, Department of Mathematics and Computer Science},
title = {On multigrid for linear complementarity problems with application to American-style options.},
url = {http://eudml.org/doc/123267},
volume = {15},
year = {2003},
}
TY - JOUR
AU - Oosterlee, C.W.
TI - On multigrid for linear complementarity problems with application to American-style options.
JO - ETNA. Electronic Transactions on Numerical Analysis [electronic only]
PY - 2003
PB - Kent State University, Department of Mathematics and Computer Science
VL - 15
SP - 165
EP - 185
LA - eng
KW - linear complementarity problems; American-style options; nonlinear multigrid; projected Gauss-Seidel; iterant recombination; second-order upwind discretizations; convection-diffusion equation; numerical examples; convergence
UR - http://eudml.org/doc/123267
ER -
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