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On the Use of Policy Iteration as an Easy Way of Pricing American Options
American Option Linear Complementarity Problem
2011/3/4
Finite di erence or nite element approximations of the value function of an American option usually result in discrete linear complementarity problems (LCP).
Iteration Procedure for the N-Dimensional System of Linear Equations
linear system iteration hyperplane convergence
2011/3/4
A simple iteration methodology for the solution of a set of a linear algebraic equations is pre-sented. The explanation of this method is based on a pure geometrical interpretation and pictorial repre...