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0410539 - UTIA-B 20010008 RIV GB eng J - Journal Article
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
R&D Projects: GA AV ČR IAA1075707
Institutional research plan: AV0Z1075907
Keywords : American option pricing * linear complementarity * iterative methods
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0130628