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Componentwise splitting methods for pricing American options under stochastic volatility. (English) Zbl 1137.91451


MSC:

91G60 Numerical methods (including Monte Carlo methods)
65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20 Derivative securities (option pricing, hedging, etc.)
60G40 Stopping times; optimal stopping problems; gambling theory
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