Multiscale methods for the valuation of American options with stochastic volatility
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
http://www.tandfonline.com/doi/pdf/10.1080/00207160.2012.672732
Reference48 articles.
1. Computational Methods for Option Pricing
2. American option pricing under stochastic volatility: an efficient numerical approach
3. American option pricing under stochastic volatility: an empirical evaluation
4. Moment explosions in stochastic volatility models
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