American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis (Q5107393): Difference between revisions

Latest revision as of 22:19, 17 August 2024

scientific article; zbMATH DE number 7193782

Language	Label	Description	Also known as
English	American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis	scientific article; zbMATH DE number 7193782

Statements

instance of

scholarly article

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title

American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis (English)

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DOI

10.1080/00949655.2019.1577857

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Journal of Statistical Computation and Simulation

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publication date

27 April 2020

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Mathematics Subject Classification ID

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double Heston model

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American option

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strong convergence

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non-Lipschitz diffusion

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00949655.2019.1577857

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OpenAlex ID

W2914599196

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cites work

Non-Gaussian stochastic volatility model with jumps via Gibbs sampler

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Time Dependent Heston Model

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Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

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Financial Modelling with Jump Processes

0 references

A multifactor volatility Heston model

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A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

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Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

0 references

Continuous Time Wishart Process for Stochastic Risk

0 references

Bond pricing under mixed generalized CIR model with mixed Wishart volatility process

0 references

On the Number of State Variables in Options Pricing

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American option pricing under stochastic volatility: an empirical evaluation

0 references

Pricing American-style securities using simulation

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Assessing the least squares Monte-Carlo approach to American option valuation

0 references

Q4433608

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Q4039796

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Q4369402

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Stochastic differential equations. An introduction with applications.

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Q2710144

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Wikidata QID

Q128393488

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Sitelinks

Mathematics(1 entry)

mardi Publication:5107393

@@ Property / cites work @@
+Non-Gaussian stochastic volatility model with jumps via Gibbs sampler
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
+Normal rank
@@ Property / cites work @@
+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
+Normal rank
@@ Property / cites work @@
+Continuous Time Wishart Process for Stochastic Risk
+Normal rank
@@ Property / cites work @@
+Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
+Normal rank
@@ Property / cites work @@
+On the Number of State Variables in Options Pricing
+Normal rank
@@ Property / cites work @@
+American option pricing under stochastic volatility: an empirical evaluation
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+Assessing the least squares Monte-Carlo approach to American option valuation
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Q2710144
@@ Property / cites work: Q2710144 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q128393488
@@ Property / Wikidata QID: Q128393488 / rank @@
+Normal rank