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

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.

Digital Object Identifier (doi)

• 10.1016/j.camwa.2011.03.101

Scopus Eid

• 2-s2.0-79957498552

Web Of Science Accession Number

• WOS:000292853300001

Ro Metadata Url

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

Has Global Citation Frequency

• 24 (sourced from Scopus)

Number Of Pages

• 25

Start Page

• 1

End Page

• 26

Volume

• 62

Issue

• 1

Abstract

Authors

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

Publication Date

• 2011

Has Subject Area

• 010205 - FINANCIAL MATHEMATICS

Published In

• Computers and Mathematics with Applications  Journal

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.

Digital Object Identifier (doi)

• 10.1016/j.camwa.2011.03.101

Scopus Eid

• 2-s2.0-79957498552

Web Of Science Accession Number

• WOS:000292853300001

Ro Metadata Url

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

Has Global Citation Frequency

• 24 (sourced from Scopus)

Number Of Pages

• 25

Start Page

• 1

End Page

• 26

Volume

• 62

Issue

• 1