Parabolic A.D.I. Methods for Pricing American Options on two Stocks

Villeneuve, Stéphane and Zanette, A. (2002) Parabolic A.D.I. Methods for Pricing American Options on two Stocks. Mathematics of Operations Research, 27. pp. 121-149.

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Official URL: http://tse-fr.eu/pub/24722
Item Type: Article
Language: English
Date: 2002
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSM Research (Toulouse), TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:45
Last Modified: 07 Mar 2018 13:20
OAI ID: oai:tse-fr.eu:24722
URI: http://publications.ut-capitole.fr/id/eprint/962

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