Koulisianis, M.D; Papatheodorou, T.S - In: Mathematics and Computers in Simulation (MATCOM) 54 (2000) 4, pp. 373-381
We introduce a new technique for the solution of the American options valuation problem, which resembles the moving boundary behavior of the solution, and thus, we call it the ‘moving index’ (MI) method. We use the so-called linear complementarity formulation of the problem for which...