A non-lattice pricing model of American
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Zhe Zhang; Kian-Guan Lim
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Article
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2006
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John Wiley and Sons
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English
โ 220 KB
๐ 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