Vadim M. Zherder

Rostov State Economic University

Rostov State University of Economics

Bolshaya Sadovaya str., 62

Rostov-on-Don, 344007

Russia

Russian Customs Academy Rostov Branch - Department of Informatics

Budennovskiy 20

Rostov-on-Don, 344011

Russia

SCHOLARLY PAPERS

2

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316

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A Note on Relative Efficiency of Some Numerical Methods for Pricing of American Options Under Levy Processes

Number of pages: 40 Posted: 28 Oct 2004
Calico Science Consulting, Russian Customs Academy Rostov Branch - Department of Informatics and Rostov State Economic University
Downloads 316 (100,530)
Citation 2

Abstract:

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American options, Levy processes, numerical methods

2.

The Relative Efficiency of Numerical Methods for Pricing American Options Under LéVy Processes

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Calico Science Consulting, Russian Customs Academy Rostov Branch - Department of Informatics and Rostov State Economic University

Abstract:

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American options, Lévy processes, Lévy, Carr et al (2002), LevendorskiˇI (2004a)