J. HUANG AND J.-S. PANG, Option pricing and linear complementarity, J. Comput. Finance, 2 (1998), pp. 31--60. Home/Search Document Details and Download
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A Newton Method For American Option Pricing - Coleman, LI, VERMA (1999) (4 citations) (Correct)
....problems with tridiagonal coefficient matrices and negative off diagonals; the method of Brenan and Schwartz [3] explicitly exploits this special structure. Linear complementarity problems with pentadiagonal matrices arise when the second order upwind finite difference approximation is used [15]. In addition, linear complementarity problems with non tridiagonal coefficient matrices can arise in different asset pricing models, e.g. a jump diffusion model [21] Computational investigation of American option pricing using the discretized linear complementarity has been made in [11, 10, 12, ....
.... is used [15] In addition, linear complementarity problems with non tridiagonal coefficient matrices can arise in different asset pricing models, e.g. a jump diffusion model [21] Computational investigation of American option pricing using the discretized linear complementarity has been made in [11, 10, 12, 15]. In [20] the projected SOR approach has been considered. In [11] the discretized linear complementarity problems from the standard finite difference approximation are solved as linear programming 1 problems by the simplex method. More sophisticated methods such as Lemke s algorithm and ....
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J. HUANG AND J. PANG, Option pricing and linear complementarity, The Journal of Computational Finance, 2 (1998), pp. 31--60.
On a Primal-Dual Analytic Center Cutting Plane Method for.. - Denault, Goffin (1998) (1 citation) (Correct)
....show that our algorithm can solve problems with a few hundred variables. We were here only interested in solving a real world large VI, so that we report only on the first of the six 400 variable problems. For more details on the model, see [44] or the appendix of the thesis [6] Huang and Pang [18] discuss the pricing of options with LCP (Linear Complementarity Problem) algorithms which take advantage of the inherent linearity and sparsity of this application. Numerical results are shown in Tables 6 and 7. Given the size of the problem, we stopped the algorithm when it reached a gap ....
J. Huang, J.-S. Pang, "Option Pricing and Linear Complementarity", submitted to Journal of Computational Finance (1997).
Reports of the Department of Mathematical Information.. - Series Scientific.. (Correct)
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J. HUANG AND J.-S. PANG, Option pricing and linear complementarity, J. Comput. Finance, 2 (1998), pp. 31--60.
Pricing American Options Using LU Decomposition - Ikonen, Toivanen (2004) (Correct)
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J. Huang and J.-S. Pang, Option pricing and linear complementarity, Journal of Computational Finance, 2 (1998), pp. 31--60.
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