Accurate numerical method for pricing two-asset American put options
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Publication:1951059
DOI10.1155/2013/189235zbMath1264.91141WikidataQ59013697 ScholiaQ59013697MaRDI QIDQ1951059
Publication date: 29 May 2013
Published in: Journal of Function Spaces and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/189235
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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