On a semi-spectral method for pricing an option on a mean-reverting asset
Authors:
L. P. Bos a;
A. F. Ware a;
B. S. Pavlov b
| Affiliations: | a Mathematical and Computational Finance Lab, Department of Mathematics and Statistics, University of Calgary, Calgary, Alberta, Canada |
| b Department of Mathematics, University of Auckland, Auckland, New Zealand |
DOI:
10.1088/1469-7688/2/5/302
Publication Frequency:
8 issues per year
Formats available:
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(English)
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