First-Order Schemes in the Numerical Quantization Method
type: Item
instance of: scholarly article
title: First-Order Schemes in the Numerical Quantization Method
zbMATH Open document ID: 1056.91025
author: Gilles Pagès
author: Jacques Printems
author: Vlad Bally
published in: Mathematical Finance
publication date: 2003-01-01T00:00:00Z
full work available at URL: document
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1941970
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: American option
MaRDI profile type: Publication
OpenAlex ID: W3123211828
cites work: Parabolic ADI Methods for Pricing American Options on Two Stocks
DOI: 10.1111/1467-9965.T01-1-00002
description: scientific article; zbMATH DE number 1941970