A spectral-collocation method for pricing perpetual American puts with stochastic volatility

Citation

• Zhu, S. & Chen, W. (2011). A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Applied Mathematics and Computation, 217 (22), 9033-9040.

Digital Object Identifier (doi)

• 10.1016/j.amc.2011.03.110

Scopus Eid

• 2-s2.0-79957446155

Web Of Science Accession Number

• WOS:000290902600016

Ro Full-text Url

• http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2771&context=infopapers

Ro Metadata Url

• http://ro.uow.edu.au/infopapers/1751

Has Global Citation Frequency

• 4 (sourced from Scopus)

Number Of Pages

• 7

Start Page

• 9033

End Page

• 9040

Volume

• 217

Issue

• 22

Abstract

Authors

•   Zhu , Song-Ping
•   Chen, Wenting (external author)

Publication Date

• 2011

Has Subject Area

• 010205 - FINANCIAL MATHEMATICS

Published In

• Applied Mathematics and Computation  Journal

Citation

• Zhu, S. & Chen, W. (2011). A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Applied Mathematics and Computation, 217 (22), 9033-9040.

Digital Object Identifier (doi)

• 10.1016/j.amc.2011.03.110

Scopus Eid

• 2-s2.0-79957446155

Web Of Science Accession Number

• WOS:000290902600016

Ro Full-text Url

• http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2771&context=infopapers

Ro Metadata Url

• http://ro.uow.edu.au/infopapers/1751

Has Global Citation Frequency

• 4 (sourced from Scopus)

Number Of Pages

• 7

Start Page

• 9033

End Page

• 9040

Volume

• 217

Issue

• 22