✦ LIBER ✦

A fast Fourier transform technique for pricing American options under stochastic volatility

✍ Scribed by Oleksandr Zhylyevskyy

Publisher: Springer US
Year: 2009
Tongue: English
Weight: 390 KB
Volume: 13
Category: Article
ISSN: 1380-6645
DOI: 10.1007/s11147-009-9041-6

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Pricing perpetual American options under

Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

✍ Song-Ping Zhu; Wen-Ting Chen 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 234 KB

Efficient numerical methods for pricing

Efficient numerical methods for pricing American options under stochastic volatility

✍ Samuli Ikonen; Jari Toivanen 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 184 KB

Operator splitting methods for pricing A

Operator splitting methods for pricing American options under stochastic volatility

✍ Samuli Ikonen; Jari Toivanen 📂 Article 📅 2009 🏛 Springer-Verlag 🌐 English ⚖ 280 KB

A non-lattice pricing model of American

A non-lattice pricing model of American options under stochastic volatility

✍ Zhe Zhang; Kian-Guan Lim 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 220 KB 👁 1 views

In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property

A new approach for option pricing under

A new approach for option pricing under stochastic volatility

✍ Peter Carr; Jian Sun 📂 Article 📅 2007 🏛 Springer US 🌐 English ⚖ 555 KB