An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595): Difference between revisions

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Property / author: Muhammad Irfan Yousuf / rank
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Property / author: Abdul Q. M. Khaliq / rank
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Property / author: Muhammad Irfan Yousuf / rank
 
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Property / author: Abdul Q. M. Khaliq / rank
 
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Property / full work available at URL: https://doi.org/10.1002/num.21780 / rank
 
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Property / OpenAlex ID: W2106671747 / rank
 
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Latest revision as of 02:04, 7 July 2024

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An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
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    An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (English)
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    26 November 2013
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    American options
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    stochastic volatility
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    butterfly spread
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    rational approximations
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    nonsmooth data
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