On multigrid for linear complementarity problems with application to American-style options

Electronic Transactions on Numerical Analysis

Volumn 15, Issue , 2003, Pages 165-185

  Oosterlee, C W ^a  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

American style options; Fourier analysis; Iterant recombination; Linear complementarity problems; Nonlinear multigrid; Projected Gauss Seidel; Second order upwind discretization

Indexed keywords

EID: 2942525425     PISSN: 10689613     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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