Penalty methods for American options with stochastic volatility

Journal of Computational and Applied Mathematics - Tập 91 - Trang 199-218 - 1998
R. Zvan1, P.A. Forsyth1, K.R. Vetzal2
1Department of Computer Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1
2Centre for Advanced Studies in Finance, University of Waterloo, Waterloo, Ont., Canada N2LG1

Tài liệu tham khảo

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