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Institute of Information Theory and Automation
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Bibliography
Journal Article
A fast iterative algorithm for American option pricing
: Solutions vol.6, 1 (2002), p. 57-66
: CEZ:AV0Z1075907
: IAA1075005, GA AV ČR
: iterative algorithm, American option pricing, linear complementary problems
(eng): We propose a new algorithm for solving European and American option pricing, formulated as complementarity problem.
: 12C
: BA