A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Probability distribution of returns in the Heston model with stochastic volatility* / rank
 
Normal rank
Property / cites work
 
Property / cites work: Randomization and the American Put / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multigrid for American option pricing with stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing: A simplified approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two singular diffusion problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4509488 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heat conduction in a melting solid / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3064721 / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some mathematical results in the pricing of American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility / rank
 
Normal rank

Latest revision as of 06:01, 4 July 2024

scientific article
Language Label Description Also known as
English
A spectral-collocation method for pricing perpetual American puts with stochastic volatility
scientific article

    Statements

    A spectral-collocation method for pricing perpetual American puts with stochastic volatility (English)
    0 references
    0 references
    0 references
    27 June 2011
    0 references
    spectral-collocation method
    0 references
    perpetual American put options
    0 references
    Heston model
    0 references

    Identifiers