Multigrid for American option pricing with stochastic volatility (Q4541576)
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scientific article; zbMATH DE number 1771970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multigrid for American option pricing with stochastic volatility |
scientific article; zbMATH DE number 1771970 |
Statements
Multigrid for American option pricing with stochastic volatility (English)
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4 September 2002
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American options
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stochastic volatility
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multigrid procedure
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linear complementarity
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problems
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