A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966)
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scientific article; zbMATH DE number 5913716
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A spectral-collocation method for pricing perpetual American puts with stochastic volatility |
scientific article; zbMATH DE number 5913716 |
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A spectral-collocation method for pricing perpetual American puts with stochastic volatility (English)
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27 June 2011
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spectral-collocation method
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perpetual American put options
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Heston model
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