Parabolic ADI Methods for Pricing American Options on Two Stocks
Published Online:1 Feb 2002https://doi.org/10.1287/moor.27.1.121.341
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Volume 27, Issue 1
February 2002
Pages 1-252
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- Received:October 20, 2000
- Published Online:February 01, 2002
© 2002 INFORMS
Cite as
Stephane Villeneuve, Antonino Zanette, (2002) Parabolic ADI Methods for Pricing American Options on Two Stocks. Mathematics of Operations Research 27(1):121-149.
https://doi.org/10.1287/moor.27.1.121.341
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