An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595): Difference between revisions
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Revision as of 16:23, 19 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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