A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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Publication:651445
DOI10.1016/J.CAMWA.2011.03.101zbMath1228.91077OpenAlexW1965306587MaRDI QIDQ651445
Publication date: 18 December 2011
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.03.101
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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