Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility

Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility

datePublished

• 2006

identifier

• propertyID: FI-FENNI value: 838237
• propertyID: FI-MELINDA value: 000448687
• propertyID: skl value: fx838237

isbn

• 9513925978

isPartOf

• Fennica
• Rep. Dep. Math. Inf. Technol., Ser. D Telecommun

name

• Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility

numberOfPages

• 24, [2] s.

P60048

• <http://rdaregistry.info/termList/RDACarrierType/1049>

P60050

• <http://rdaregistry.info/termList/RDAMediaType/1007>

publication

• location: Jyväskylä organizer: Jyväskylän kasvatusopillinen korkeakoulu Jyväskylän yliopisto

publisher

• Jyväskylän kasvatusopillinen korkeakoulu
• Jyväskylän yliopisto