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adaptive time\-stepping American option pricing finite difference method multigrid stochastic volatility strike\-price related transformation

Number of items: 6.

adaptive time\-stepping

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:https://doi.org/10.1080/135048699334528)

American option pricing

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:https://doi.org/10.1080/135048699334528)

finite difference method

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:https://doi.org/10.1080/135048699334528)

multigrid

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:https://doi.org/10.1080/135048699334528)

stochastic volatility

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:https://doi.org/10.1080/135048699334528)

strike\-price related transformation

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:https://doi.org/10.1080/135048699334528)

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