# 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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