"Parabolic ADI Methods for Pricing America Options on Two Stocks."

Stéphane Villeneuve, Antonino Zanette (2002)

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DOI: 10.1287/MOOR.27.1.121.341

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type: Journal Article

metadata version: 2022-10-02

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Stéphane Villeneuve, Antonino Zanette:
Parabolic ADI Methods for Pricing America Options on Two Stocks. Math. Oper. Res. 27(1): 121-149 (2002)

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