Multiscale methods for the valuation of American options with stochastic volatility (Q4903541)
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scientific article; zbMATH DE number 6127879
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| English | Multiscale methods for the valuation of American options with stochastic volatility |
scientific article; zbMATH DE number 6127879 |
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Multiscale methods for the valuation of American options with stochastic volatility (English)
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22 January 2013
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American option pricing
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stochastic volatiliy
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Heston's model
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parabolic boundary value problem
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free boundary
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monotone multigrid method
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multigrid efficiency
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0.8633326292037964
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0.829241931438446
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0.8281385898590088
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0.8178465962409973
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0.8178374171257019
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