A finite difference method for American option of two risky assets
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Publication:3501674
zbMATH Open1150.91372MaRDI QIDQ3501674FDOQ3501674
Authors: Yaogu Huang 
Publication date: 3 June 2008
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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- A two-grid penalty method for American options
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- Solving finite difference schemes arising in trivariate option pricing.
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- Parabolic ADI Methods for Pricing American Options on Two Stocks
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