"PDE models for American options with counterparty risk and two stochastic ..."

Iñigo Arregui et al. (2020)

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DOI: 10.1016/J.CAMWA.2019.09.014

access: closed

type: Journal Article

metadata version: 2020-10-26

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Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez:
PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution. Comput. Math. Appl. 79(5): 1525-1542 (2020)

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