Work

Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility

Year: 2009

Type: article

Source: SIAM Journal on Scientific Computing

DOI: 10.1137/07070574x

Authors: Kazufumi Ito, Jari Toivanen

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2011073159

FWCI: 7.326

Cites: 38

Cited by: 43

Related to: 10