Jose Luis Morales

Instituto Tecnológico Autónomo de México (ITAM)

Professor

Av. Camino a Sta. Teresa 930

Col. Héroes de Padierna

Mexico City, D.F. 01000, Federal District 01080

Mexico

SCHOLARLY PAPERS

1

DOWNLOADS

195

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (1)

1.

On the Solution of Complementarity Problems Arising in American Options Pricing

Optimization Methods and Software, Forthcoming
Number of pages: 16 Posted: 06 Nov 2010
Liming Feng, Vadim Linetsky, Jose Luis Morales and Jorge Nocedal
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering, Northwestern University - Department of Industrial Engineering and Management Sciences, Instituto Tecnológico Autónomo de México (ITAM) and Northwestern University
Downloads 195 (292,857)
Citation 1

Abstract:

Loading...

American Options Pricing, Linear Complementarity, Projected SOR Method