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A spectral estimation of tempered stable stochastic volatility models and option pricing

✍ Scribed by Junye Li; Carlo Favero; Fulvio Ortu

Book ID
113557634
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
304 KB
Volume
56
Category
Article
ISSN
0167-9473

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πŸ“œ SIMILAR VOLUMES

A non-lattice pricing model of American
A non-lattice pricing model of American options under stochastic volatility
✍ Zhe Zhang; Kian-Guan Lim πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 220 KB πŸ‘ 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