Références
- F. Black, M. Scholcs, “The Pricing of Options and Corporate Liabilities”. Journal of Political Economy, No. 81, 1973. p. 637–659.
- A. Boriçi, H.-J. Lüthi, “Pricing American Put Options by Linear Scaling Algorithms”, Computational Methods in Decision-Making, Economies and Finance, Applied Optimization. Décembre 2001. Kluwer Academic Publishers, édité par E. J. Kontoghiorghes, B. Rustem et S. Siokos.
- M. Broadie. J. Detemple. “Recent Advances in Numerical Methods tor Pricing Derivative Securities”. Numerical Methods in Finance, Cambridge University Press, 1997.
- R. Cottle. J-S. Pang, P. Stone, The Linear Complementarity Problem, Computer Science and Scientific Computing. 1992.
- C.W. Cryer. “The Solution of a Quadratic Programming Problem Using Systematic Over-Relaxation” SIAM Journal on Control. 1971.
- M.A.H. Dempster, J.P. Hutton, “Fast Numerical Valuation of American. Exotic and Complex Options”, Applied Mathematical Finance, No. 4, 1997. p. 1–20.
- M.A.H. Dempster. J.P. Hutlon. “Pricing American Slock Options by Linear Programming”. Mathematical Finance, Vol. 9, No. 3, Juillet 1999. p. 229.
- MAH. Dempster. J.P Hutlon. D.G. Richards, “LP Valuation of Exotic American Options Exploiting Structure”, Computational Finance. No. 2, 1998, p. 61–84.
- M.A.H. Dempster, J.P. Hutton, D.G. Richards, “LP Valuation of Exotic American Options Exploiting Structure”, Computational Finanance, No. 2 1998, p. 61–84.
- J.N. Dewyne, P. Wilmott. “Asian Options as Linear Complementarity Problems: Analysis and Finite-Difference Solutions”. Advances in Futures and Options Research. No. 8, 1995. p. 145–173.
- J. Huang, J-S. Pang, “Option Pricing and Linear Complementarity”. Journal of Computational Finance, Vol. 2 no. 1. 1998.
- J. Huang, J.-S. Pang. “Pricing American options with transaction costs by complementarity methods”. in M. Avellaneda, editor. Quantitative Analysis in Financial Markets, [Collected Papers of the New York University Mathematical Finance Seminar], Volume III, World Scientific Publishing Co.. Inc. (2002), 172–198
- J.C. Hull, “Options, futures, and other derivatives” (2000). fourth edition, Prentice Hall.
- P. Jaillet, D. Lamberton. B. Lapeyre, “Variation Inequalities and the Pricing of American Options”, Acta Applicandae Mathematiche 21 (1990), 263–289.
- D. Lamberton, B. Lapeyre, “Introduction au calcul stochastique appliqué à la finance” (1991). Ellipses.
- C.E. Lemke. “On Complementary Pivot Theory”, Mathematics of the Decision Sciences, édité par G. B. Dantzig et A. F. Veinott, 1968.
- D.G. Luenberger, “Linear and Nonlinear Programming”, deuxième édition, Addison Wesley, 1984.
- R. Myneni, “The Pricing of the American Option”. The Annals of Applied Probability, Vol. 2. no. 1, 1992. p. 1–23.
- W.H. Press, S.A. Teukolsky. W.T. Vetterling, B.P. Flannery. “Numerical recipes in C, The art of scientific computing”, second edition (1992), Cambridge University Press.
- P. Wilmott. J. Dewyne, S. Howison. “Options Pricing: Mathematical Model and Computation”. Oxford Financial Press, 1993.
- P. Wilmott, J. Dewyne, S. Howison, “The Mathematics of Financial Derivatives; A Student Introduction”, Cambridge University Press. 1995.