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

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dc.contributor.authorIto, Kazufumi
dc.contributor.authorToivanen, Jari A.
dc.date.accessioned2009-11-18T19:43:29Z
dc.date.available2009-11-18T19:43:29Z
dc.date.issued2008
dc.format.extent906399 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://www.ncsu.edu/crsc/reports/ftp/pdf/crsc-tr08-17.pdf
dc.identifier.urihttp://www.lib.ncsu.edu/resolver/1840.4/4063
dc.language.isoen
dc.publisherNorth Carolina State University. Center for Research in Scientific Computation
dc.relation.ispartofseriesCenter for Research in Scientific Computation Technical report
dc.relation.ispartofseriesCRSC-TR08-17
dc.titleLaGrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
dc.typeTechnical report

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