A fast iterative algorithm for American option pricing.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F02%3A16020094" target="_blank" >RIV/67985556:_____/02:16020094 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
A fast iterative algorithm for American option pricing.
Original language description
We propose a new algorithm for solving European and American option pricing, formulated as complementarity problem.
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/IAA1075005" target="_blank" >IAA1075005: Variational problems in nonsmooth mathematical physics: theory, numerical methods and applications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Solutions
ISSN
—
e-ISSN
—
Volume of the periodical
6
Issue of the periodical within the volume
1
Country of publishing house
DE - GERMANY
Number of pages
10
Pages from-to
57-66
UT code for WoS article
—
EID of the result in the Scopus database
—