An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595)
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scientific article; zbMATH DE number 6232498
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| English | An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs |
scientific article; zbMATH DE number 6232498 |
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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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0.92942226
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0.92826855
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0.9104464
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0.90124965
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0.8983103
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0.8981549
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0.8962865
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0.89584124
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