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Pricing options under stochastic volatility: a

โœ Scribed by Fabio Antonelli; Sergio Scarlatti


Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
601 KB
Volume
13
Category
Article
ISSN
0949-2984

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A non-lattice pricing model of American
โœ Zhe Zhang; Kian-Guan Lim ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 220 KB ๐Ÿ‘ 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