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- W2007788643 abstract "The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping." @default.
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- W2007788643 title "Multigrid for American option pricing with stochastic volatility" @default.
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- W2007788643 doi "https://doi.org/10.1080/135048699334528" @default.
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