Matrix splitting iteration methods have emerged as potent tools in addressing complementarity problems, which frequently arise in optimisation, economics and engineering applications. These methods ...

General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...