Santtu Salmi, Jari Toivanen, Lina von Sydow. Iterative Methods for Pricing American Options under the Bates Model. In Vassil N. Alexandrov, Michael Lees, Valeria V. Krzhizhanovskaya, Jack Dongarra, Peter M. A. Sloot, editors, Proceedings of the International Conference on Computational Science, ICCS 2013, Barcelona, Spain, 5-7 June, 2013. Volume 18 of Procedia Computer Science, pages 1136-1144, Elsevier, 2013. [doi]
Abstract is missing.