Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Year of publication: |
2021
|
---|---|
Authors: | Le Floc'h, Fabien |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 3, p. 1-24
|
Subject: | American options | finite difference method | pricing | quantitative finance | Runge-Kutta-Chebyshev | Runge-Kutta-Legendre | stochastic volatility | uncertain volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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