"The evaluation of American options in a stochastic volatility model with ..."

Luca Vincenzo Ballestra, Carlo Sgarra (2010)

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DOI: 10.1016/J.CAMWA.2010.06.040

access: open

type: Journal Article

metadata version: 2021-02-11

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Luca Vincenzo Ballestra, Carlo Sgarra:
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach. Comput. Math. Appl. 60(6): 1571-1590 (2010)

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