Efficient numerical methods for pricing American options under stochastic volatility (Q5438239)
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scientific article; zbMATH DE number 5229353
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Efficient numerical methods for pricing American options under stochastic volatility |
scientific article; zbMATH DE number 5229353 |
Statements
Efficient numerical methods for pricing American options under stochastic volatility (English)
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23 January 2008
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American option pricing
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finite difference method
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linear complementarity problem
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multigrid method
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operator splitting method
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penalty method
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stochastic volatility model
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0.8965277671813965
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0.8860093951225281
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0.8471087217330933
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