On the Solution of Complementarity Problems Arising in American Options Pricing
Year of publication: |
2010
|
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Authors: | Feng, Liming |
Other Persons: | Linetsky, Vadim (contributor) ; Morales, Jose Luis (contributor) ; Nocedal, Jorge (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming |
Extent: | 1 Online-Ressource (16 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Optimization Methods and Software, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 4, 2010 erstellt |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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