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
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| 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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0.8175562620162964
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0.8038237690925598
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0.8027432560920715
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0.8001694679260254
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0.7959873676300049
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