A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility (Q4903539)
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scientific article; zbMATH DE number 6127878
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility |
scientific article; zbMATH DE number 6127878 |
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A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility (English)
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22 January 2013
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American option
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linear complementarity problem
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stochastic volatility model
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upwind difference scheme
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mixed derivatives
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