ADE is easier to use with non-linear problems, for example uncertain volatility (Pealat and Duffy (2011)) and

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ADE is easier to use with non-linear problems, for example uncertain volatility

(Pealat and Duffy (2011)) and PDEs that have semi-linear terms when we introduce penalty terms for early exercise (Duffy (2018)).

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Numerical Methods In Computational Finance

ISBN: 9781119719670

1st Edition

Authors: Daniel J. Duffy

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Question Posted: Oct 23, 2024 08:04 AM

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ADE is easier to use with non-linear problems, for example uncertain volatility (Pealat and Duffy (2011)) and

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Numerical Methods In Computational Finance

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