A spectral-collocation method for pricing perpetual American puts with stochastic volatility
نویسندگان
چکیده
منابع مشابه
A spectral-collocation method for pricing perpetual American puts with stochastic volatility
Based on the Legendre pseudospectral method, we propose a numerical treatment for pricing perpetual American put option with stochastic volatility. In this simple approach, a nonlinear algebraic equation system is first derived, and then solved by the Gauss-Newton algorithm. The convergence of the current scheme is ensured by constructing a test example similar to the original problem, and comp...
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2011
ISSN: 0096-3003
DOI: 10.1016/j.amc.2011.03.110