Numerical solution to linear complementarity problems and the evaluation of American options

被引：0
|
作者：
Denault, M
Pigeon, B
机构：
[1] HEC Montreal & GERAD, Montreal, PQ H3P 1S3, Canada
[2] Financeiere Banque Natl, Montreal, PQ H3B 4S9, Canada
来源：
INFOR | 2004年 / 42卷 / 01期
关键词：
option pricing; American options; linear complementarity problem (LCP); pivoting; algorithms;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In the Black-Scholes framework, the American option pricing problem can be discretized into a finite-dimensional linear complementarity problem. We compare the numerical performances of three algorithms for the linear complementarity problem: the pivotal algorithms of Lemke and of Borici and Luthi, and the iterative approach "Projected Successive Over-Relaxation". We conclude that a special-purpose algorithm can provide performances vastly superior to those of generic algorithms.
引用
收藏
页码：1 / 21
页数：21
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