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

No Thumbnail Available

Files

crsc-tr08-17.pdf (885.16 KB)

Date

2008

Authors

Advisors

Journal Title

Series/Report No.

Center for Research in Scientific Computation Technical report
CRSC-TR08-17

Journal ISSN

Volume Title

Publisher

North Carolina State University. Center for Research in Scientific Computation

Abstract

Description

Keywords

Citation

URI

http://www.ncsu.edu/crsc/reports/ftp/pdf/crsc-tr08-17.pdf
 http://www.lib.ncsu.edu/resolver/1840.4/4063

Degree

Discipline

Collections

Center for Research in Scientific Computation