Maciej Balajewicz, Jari Toivanen. Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-Diffusion Models. In Michelle Connolly, editor, International Conference on Computational Science 2016, ICCS 2016, 6-8 June 2016, San Diego, California, USA. Volume 80 of Procedia Computer Science, pages 734-743, Elsevier, 2016. [doi]
Abstract is missing.