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

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.
Permanent Link: http://hdl.handle.net/11104/0130628