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;
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页码：283 / 310
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