@article {
author = {Moradipour, Mojtaba},
title = {An effective algorithm to solve option pricing problems},
journal = {International Journal of Nonlinear Analysis and Applications},
volume = {12},
number = {1},
pages = {261-271},
year = {2021},
publisher = {Semnan University},
issn = {2008-6822},
eissn = {2008-6822},
doi = {10.22075/ijnaa.2021.4782},
abstract = {We are aimed to develop a fast and direct algorithm to solve linear complementarity problems (LCP's) arising from option pricing problems. We discretize the free boundary problem of American options in temporal direction and obtain a sequence of linear complementarity problems (LCP's) in the finite dimensional Euclidian space $\mathbb{R}^m$. We develop a fast and direct algorithm based on the active set strategy to solve the LCP's. The active set strategy in general needs $O(2^m m^3)$ operations to solve $m$ dimensional LCP's. Using Thomas algorithm, we develop an algorithm with order of complexity $O(m)$ which can extremely speed up the computations.},
keywords = {American options,variational inequalities,linear complementarity problems},
url = {https://ijnaa.semnan.ac.ir/article_4782.html},
eprint = {https://ijnaa.semnan.ac.ir/article_4782_59c7fd62925d15df4f6446ccf405aa46.pdf}
}