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

@@ Property / author @@
-Muhammad Irfan Yousuf
@@ Property / author: Muhammad Irfan Yousuf / rank @@
-Normal rank
@@ Property / author @@
-Abdul Q. M. Khaliq
@@ Property / author: Abdul Q. M. Khaliq / rank @@
-Normal rank
@@ Property / author @@
+Muhammad Irfan Yousuf
@@ Property / author: Muhammad Irfan Yousuf / rank @@
+Normal rank
@@ Property / author @@
+Abdul Q. M. Khaliq
@@ Property / author: Abdul Q. M. Khaliq / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1002/num.21780
@@ Property / full work available at URL: https://doi.org/10.1002/num.21780 / rank @@
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@@ Property / OpenAlex ID @@
+W2106671747
@@ Property / OpenAlex ID: W2106671747 / rank @@
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@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374320
@@ Property / cites work: Q3374320 / rank @@
+Normal rank
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+Q3374309
@@ Property / cites work: Q3374309 / rank @@
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@@ Property / cites work @@
+Stochastic volatility, smile &amp; asymptotics
@@ Property / cites work: Stochastic volatility, smile & asymptotics / rank @@
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+Penalty methods for American options with stochastic volatility
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+On multigrid for linear complementarity problems with application to American-style options
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+Efficient numerical methods for pricing American options under stochastic volatility
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@@ links / mardi / name / links / mardi / name @@
+Publication:2864595