Multigrid for American option pricing with stochastic volatility (Q4541576): Difference between revisions

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+https://doi.org/10.1080/135048699334528
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+W2007788643
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+Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
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+Q3902416
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+Fast numerical valuation of American, exotic and complex options
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+Two singular diffusion problems
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Variational inequalities and the pricing of American options
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+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
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+Option Pricing Under Incompleteness and Stochastic Volatility
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+Q4004051
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