"A predictor-corrector scheme based on the ADI method for pricing American ..."

Song-Ping Zhu, Wen-Ting Chen (2011)

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DOI: 10.1016/J.CAMWA.2011.03.101

access: open

type: Journal Article

metadata version: 2021-02-11

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Song-Ping Zhu, Wen-Ting Chen:
A predictor-corrector scheme based on the ADI method for pricing American puts with stochastic volatility. Comput. Math. Appl. 62(1): 1-26 (2011)

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