An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
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Publication:2864595
DOI10.1002/num.21780zbMath1275.91149MaRDI QIDQ2864595
Muhammad Irfan Yousuf, Abdul Q. M. Khaliq
Publication date: 26 November 2013
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21780
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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