A spectral-collocation method for pricing perpetual American puts with stochastic volatility
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Publication:547966
DOI10.1016/J.AMC.2011.03.110zbMath1231.91482OpenAlexW2003028655MaRDI QIDQ547966
Publication date: 27 June 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/infopapers/1751
Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? ⋮ A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility ⋮ Pricing perpetual American options under a stochastic-volatility model with fast mean reversion ⋮ Semi-implicit FEM for the valuation of American options under the Heston model
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