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  • Search: subject:"Method of characteristics"
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Subject
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American options 1 Fourier transform 1 Laplace transform 1 method of characteristics 1
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Free 1
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Book / Working Paper 1
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English 1
Author
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Chiarella, Carl 1 Ziveyi, Jonathan 1
Institution
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Finance Discipline Group, Business School 1
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Research Paper Series / Finance Discipline Group, Business School 1
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RePEc 1
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Two Stochastic Volatility Processes - American Option Pricing
Chiarella, Carl; Ziveyi, Jonathan - Finance Discipline Group, Business School - 2011
characteristic PDE system is solved by using the method of characteristics. With the full price representation in place, numerical …
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