Stabilized explicit Runge-Kutta methods for multi-asset American options (Q316630): Difference between revisions
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Property / author: Jesús Martín-Vaquero / rank | |||
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Property / author: Abdul Q. M. Khaliq / rank | |||
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Property / author: Jesús Martín-Vaquero / rank | |||
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Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / zbMATH DE Number: 6630085 / rank | |||
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multi-asset options | |||
Property / zbMATH Keywords: multi-asset options / rank | |||
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stabilized explicit Runge-Kutta methods | |||
Property / zbMATH Keywords: stabilized explicit Runge-Kutta methods / rank | |||
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American options | |||
Property / zbMATH Keywords: American options / rank | |||
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non-smooth payoffs | |||
Property / zbMATH Keywords: non-smooth payoffs / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/j.camwa.2014.01.018 / rank | |||
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Latest revision as of 21:08, 19 March 2024
scientific article
Language | Label | Description | Also known as |
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English | Stabilized explicit Runge-Kutta methods for multi-asset American options |
scientific article |
Statements
Stabilized explicit Runge-Kutta methods for multi-asset American options (English)
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27 September 2016
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multi-asset options
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stabilized explicit Runge-Kutta methods
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American options
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non-smooth payoffs
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