A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445): Difference between revisions

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Latest revision as of 18:45, 4 July 2024

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A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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    A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (English)
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    18 December 2011
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    ADI scheme
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    stability analysis
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    American put options
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    Heston model
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