High-order computational methods for option valuation under multifactor models (Q2253418)
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scientific article; zbMATH DE number 6321873
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| English | High-order computational methods for option valuation under multifactor models |
scientific article; zbMATH DE number 6321873 |
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High-order computational methods for option valuation under multifactor models (English)
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27 July 2014
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finance
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American options
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Galerkin discretization
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exponential time integration
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stochastic volatility model
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0.9389801
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0.93211997
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0.9254313
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0.90278053
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0.8973679
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0.8953374
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0.8923965
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0.8895169
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0.8873746
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