0410539 - UTIA-B 20010008 RIV GB eng J - Článek v odborném periodiku
Siddiqi, A. H. - Manchanda, P. - Kočvara, Michal
An iterative two-step algorithm for American option pricing.
IMA Journal of Mathematics Applied in Business and Industry. Roč. 11, č. 2 (2000), s. 71-84. ISSN 0953-0061
Grant CEP: GA AV ČR IAA1075707
Výzkumný záměr: AV0Z1075907
Klíčová slova: American option pricing * linear complementarity * iterative methods
Kód oboru RIV: AH - Ekonomie

In this paper we discuss the application of a very efficient algorithm proposed recently by Kočvara and Zowe to American option pricing. Modelling and numerical simulation of options depending on the history of underlying asset price, inflation and devaluation by evolution equations and inequalities with hysteresis are proposed.
Trvalý link: http://hdl.handle.net/11104/0130628