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

Journal Article


Download full-text (Open Access)

Abstract


Publication Date


  • 2011

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.

Scopus Eid


  • 2-s2.0-79957446155

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


Number Of Pages


  • 7

Start Page


  • 9033

End Page


  • 9040

Volume


  • 217

Issue


  • 22

Abstract


Publication Date


  • 2011

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.

Scopus Eid


  • 2-s2.0-79957446155

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


Number Of Pages


  • 7

Start Page


  • 9033

End Page


  • 9040

Volume


  • 217

Issue


  • 22