most citedComputing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach

2 citations · 2 across the 1 of their papers we have counts for

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q-fin.PR2017★ 2 cited

Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach

Rafael Company, Vera Egorova, Lucas Jódar +1

The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove…