American option pricing under two stochastic volatility processes

被引：0

作者：

Chiarella, Carl ^{[1
]}

Ziveyi, Jonathan ^{[2
]}

机构：

[1] Finance Discipline Group, University of Technology Sydney, P.O. Box 123, Broadway, NSW 2007, Australia

[2] Risk and Actuarial Studies, Australian School of Business, University of New South Wales, Sydney, NSW 2052, Australia

来源：

Applied Mathematics and Computation | 2013年 / 224卷

关键词：

American options - Duhamel's principles - Method of characteristics - Numerical comparison - Partial differential equations (PDE) - Stochastic volatility - Transition density - Underlying dynamics;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

引用

页码：283 / 310

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