On multigrid for linear complementarity problems with application to American-style options.
Oosterlee, C.W.
ETNA. Electronic Transactions on Numerical Analysis [electronic only], Tome 16 (2003), p. 165-185 / Harvested from The Electronic Library of Mathematics
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Publié le : 2003-01-01
EUDML-ID : urn:eudml:doc:123267 
@article{01982988,
     title = {On multigrid for linear complementarity problems with application to American-style options.},
     journal = {ETNA. Electronic Transactions on Numerical Analysis [electronic only]},
     volume = {16},
     year = {2003},
     pages = {165-185},
     zbl = {1031.65072},
     language = {en},
     url = {http://dml.mathdoc.fr/item/01982988}
}

Oosterlee, C.W. On multigrid for linear complementarity problems with application to American-style options.. ETNA. Electronic Transactions on Numerical Analysis [electronic only], Tome 16 (2003) pp. 165-185. http://gdmltest.u-ga.fr/item/01982988/