"Stabilized explicit Runge-Kutta methods for multi-asset American options."

J. Martín-Vaquero, A. Q. M. Khaliq, Britta Kleefeld (2014)

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DOI: 10.1016/J.CAMWA.2014.01.018

access: open

type: Journal Article

metadata version: 2021-02-11

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J. Martín-Vaquero, A. Q. M. Khaliq, Britta Kleefeld:
Stabilized explicit Runge-Kutta methods for multi-asset American options. Comput. Math. Appl. 67(6): 1293-1308 (2014)

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