A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility
Song-Ping Zhu, Wen-Ting ChenVolume:
62
Year:
2011
Language:
english
Pages:
26
DOI:
10.1016/j.camwa.2011.03.101
File:
PDF, 1016 KB
english, 2011