A robust upwind difference scheme for pricing perpetual...

International Journal of Computer Mathematics 2012 / 06 Vol. 89; Iss. 9

A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility

Le, Anbo, Cen, Zhongdi, Xu, Aimin
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Volume:
89
Language:
english
Journal:
International Journal of Computer Mathematics
DOI:
10.1080/00207160.2012.658379
Date:
June, 2012
File:
PDF, 116 KB
english, 2012
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