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A predictor-corrector scheme based on ADI method for pricing American puts with stochastic volatility

Journal Article


Abstract


Publication Date


  • 2011

Citation


  • Zhu, S. & Chen, W. (2011). A predictor-corrector scheme based on ADI method for pricing American puts with stochastic volatility. Computers and Mathematics with Applications, 62 (1), 1-26.

Scopus Eid


  • 2-s2.0-79957498552

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2615

Has Global Citation Frequency


Number Of Pages


  • 25

Start Page


  • 1

End Page


  • 26

Volume


  • 62

Issue


  • 1

Abstract


Publication Date


  • 2011

Citation


  • Zhu, S. & Chen, W. (2011). A predictor-corrector scheme based on ADI method for pricing American puts with stochastic volatility. Computers and Mathematics with Applications, 62 (1), 1-26.

Scopus Eid


  • 2-s2.0-79957498552

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2615

Has Global Citation Frequency


Number Of Pages


  • 25

Start Page


  • 1

End Page


  • 26

Volume


  • 62

Issue


  • 1