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

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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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