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"A robust upwind difference scheme for pricing perpetual American put ..."

Anbo Le, Zhongdi Cen, Aimin Xu (2012)

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DOI: 10.1080/00207160.2012.658379

access: closed

type: Journal Article

metadata version: 2017-05-28

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Anbo Le, Zhongdi Cen, Aimin Xu:
A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility. Int. J. Comput. Math. 89(9): 1135-1144 (2012)

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