Multiscale methods for the valuation of American options with stochastic volatility (Q4903541): Difference between revisions

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Latest revision as of 03:30, 6 July 2024

scientific article; zbMATH DE number 6127879
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English
Multiscale methods for the valuation of American options with stochastic volatility
scientific article; zbMATH DE number 6127879

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    Multiscale methods for the valuation of American options with stochastic volatility (English)
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    22 January 2013
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    American option pricing
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    stochastic volatiliy
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    Heston's model
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    parabolic boundary value problem
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    free boundary
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    monotone multigrid method
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    multigrid efficiency
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