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Found 17 Documents (Results 1–17)

A componentwise splitting method for pricing American options under the Bates model. (English) Zbl 1201.91207

Fitzgibbon, William (ed.) et al., Applied and numerical partial differential equations. Scientific computing in simulation, optimization and control in a multidisciplinary context. Dordrecht: Springer (ISBN 978-90-481-3238-6/hbk; 978-90-481-3239-3/ebook). Computational Methods in Applied Sciences 15, 213-227 (2010).
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