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Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility
URI:
http://urn.fi/URN:NBN:fi:bib:me:W00044868700
author
Ito, Kazufumi
contributor
Toivanen, Jari
inLanguage
en
isPartOf
Fennica
name
Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility
P60049
<http://rdaregistry.info/termList/RDAContentType/1020>
Instances
2006 : Jyväskylän yliopisto
View this in Finna
Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility
URI:
http://urn.fi/URN:NBN:fi:bib:me:I00044868700
datePublished
2006
identifier
propertyID:
FI-FENNI
value:
838237
propertyID:
FI-MELINDA
value:
000448687
propertyID:
skl
value:
fx838237
isbn
9513925978
isPartOf
Fennica
Reports of the Department of Mathematical Information Technology. Series B, Scientific computing
name
Lagrange multiplier approach with optimized finete difference stencils for pricing American options under stochastic volatility
numberOfPages
24, [2] s.
P60048
<http://rdaregistry.info/termList/RDACarrierType/1049>
P60050
<http://rdaregistry.info/termList/RDAMediaType/1007>
publication
location:
Jyväskylä
organizer:
Jyväskylän kasvatusopillinen korkeakoulu Jyväskylän yliopisto
publisher
Jyväskylän kasvatusopillinen korkeakoulu
Jyväskylän yliopisto
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