Parabolic ADI Methods for Pricing American Options on Two Stocks (Q5704067)
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scientific article; zbMATH DE number 2228235
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parabolic ADI Methods for Pricing American Options on Two Stocks |
scientific article; zbMATH DE number 2228235 |
Statements
Parabolic ADI Methods for Pricing American Options on Two Stocks (English)
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11 November 2005
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viscosity solutions
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alternating direction implicit method
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