Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Fabien Le Floc'h
| Year of publication: |
2021
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|---|---|
| Authors: | Le Floc'h, Fabien |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 3, p. 1-24
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| Subject: | American options | finite difference method | pricing | quantitative finance | Runge-Kutta-Chebyshev | Runge-Kutta-Legendre | stochastic volatility | uncertain volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500187 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012652624