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

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: PDF (English)

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