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"A spectral-collocation method for pricing perpetual American puts with ..."

Song-Ping Zhu, Wen-Ting Chen (2011)

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DOI: 10.1016/J.AMC.2011.03.110

access: closed

type: Journal Article

metadata version: 2020-02-21

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Song-Ping Zhu, Wen-Ting Chen:
A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Appl. Math. Comput. 217(22): 9033-9040 (2011)

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