A new Schwarz modulus-based splitting method accelerated by minimal polynomial extrapolation achieves nearly an order of magnitude fewer iterations than standard modulus-based techniques for LCPs arising in American option pricing.
SIAM Journal on Control 9(3), 385–392 (1971)
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Schwarz Modulus Based Matrix Splittings with Minimal Polynomial Extrapolation Acceleration for linear complementarity problems arising from American option pricing
A new Schwarz modulus-based splitting method accelerated by minimal polynomial extrapolation achieves nearly an order of magnitude fewer iterations than standard modulus-based techniques for LCPs arising in American option pricing.