PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution
- Arregui, I.
- Salvador, B.
- Ševčovič, D.
- Vázquez, C.
ISSN: 0898-1221
Year of publication: 2020
Volume: 79
Issue: 5
Pages: 1525-1542
Type: Article