Pricing American options using a space-time adaptive finite difference method
Year of publication: |
2010
|
---|---|
Authors: | Persson, Jonas ; von Sydow, Lina |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 80.2010, 9, p. 1922-1935
|
Publisher: |
Elsevier |
Subject: | Finite difference method | Adaptive method | American option | Stochastic volatility | Local time-stepping |
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