G-2002-74
Résolution numérique de problèmes de complémentarité linéaire et évaluation d'options américaines
and BibTeX reference
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 Boriçi and Lüthi, 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.
Published December 2002 , 25 pages
Publication
Jan 2004
and
INFOR: Information Systems and Operational Research , 42(1), 1–21, 2004
BibTeX reference