Operator splitting method to solve the linear complementarity problem for pricing American option : an approximation of error
Deepak Kumar Yadav, Akanksha Bhardwaj, Alpesh Kumar
| Year of publication: |
2024
|
|---|---|
| Authors: | Yadav, Deepak Kumar ; Bhardwaj, Akanksha ; Kumar, Alpesh |
| Subject: | American options | Black-Scholes | Error analysis | Linear complementarity problems | Operator splitting | Option pricing | Stability analysis | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10564-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144238