LaGrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility

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Title: LaGrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
Author: Ito, Kazufumi; Toivanen, Jari A.
Publisher: North Carolina State University. Center for Research in Scientific Computation
Date: 2008
Series/Report No.: Center for Research in Scientific Computation Technical report
CRSC-TR08-17
URI: http://www.ncsu.edu/crsc/reports/ftp/pdf/crsc-tr08-17.pdf
http://www.lib.ncsu.edu/resolver/1840.4/4063


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