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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
Published in: journal Quantitative Finance, Volume 2, Issue 5 October 2002 , pages 337 - 345
Formats available: PDF (English)

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