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American option pricing
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Strang symmetrization
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componentwise splitting method
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linear complementarity problem
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stochastic volatility model
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IKONEN, SAMULI
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TOIVANEN, JARI
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International Journal of Theoretical and Applied Finance (IJTAF)
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COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
IKONEN, SAMULI
;
TOIVANEN, JARI
- In:
International Journal of Theoretical and Applied …
10
(
2007
)
02
,
pp. 331-361
splitting method is increased by applying the
Strang
symmetrization
. The good accuracy and the computational efficiency of the …
Persistent link: https://www.econbiz.de/10004971758
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