✦ LIBER ✦

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

✍ Scribed by Song-Ping Zhu; Wen-Ting Chen

Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 234 KB
Volume: 24
Category: Article
ISSN: 0893-9659
DOI: 10.1016/j.aml.2011.04.011

No coin nor oath required. For personal study only.

📜 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 📂 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

FFT based option pricing under a mean re

FFT based option pricing under a mean reverting process with stochastic volatility and jumps

✍ E. Pillay; J.G. O’Hara 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 228 KB

Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jump

Pricing credit spread options under a Ma

Pricing credit spread options under a Markov chain model with stochastic default rate

✍ Jangkoo Kang; Hwa-Sung Kim 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 137 KB 👁 1 views

## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, wh