American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics (Q5001107): Difference between revisions

Latest revision as of 06:17, 26 July 2024

scientific article; zbMATH DE number 7372382

Language	Label	Description	Also known as
English	American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics	scientific article; zbMATH DE number 7372382

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instance of

scholarly article

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title

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics (English)

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16 July 2021

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full work available at URL

http://eprints.gla.ac.uk/147370/7/147370.pdf

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zbMATH Keywords

stochastic volatility

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American option

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maturity randomization

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singular perturbation theory

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regular perturbation theory

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Monte Carlo

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control variate

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MaRDI profile type

MaRDI publication profile

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cites work

Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options

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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

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Maturity randomization for stochastic control problems

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Pricing American-style securities using simulation

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Randomization and the American Put

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Finite expiry Russian options

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A martingale control variate method for option pricing with stochastic volatility

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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Q4433608

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Sequential Design for Optimal Stopping Problems

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

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Q3374309

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COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

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Efficient numerical methods for pricing American options under stochastic volatility

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A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

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Perpetual options and Canadization through fluctuation theory

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AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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Sequential Monte Carlo pricing of American-style options under stochastic volatility models

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On the investment-uncertainty relationship in a real option model with stochastic volatility

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American options exercise boundary when the volatility changes randomly

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Identifiers

zbMATH Open document ID

1468.91158

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DOI

10.1080/14697688.2015.1068443

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5001107

@@ Property / cites work @@
+Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options
+Normal rank
@@ Property / cites work @@
+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
+Normal rank
@@ Property / cites work @@
+Maturity randomization for stochastic control problems
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Finite expiry Russian options
@@ Property / cites work: Finite expiry Russian options / rank @@
+Normal rank
@@ Property / cites work @@
+A martingale control variate method for option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Design for Optimal Stopping Problems
@@ Property / cites work: Sequential Design for Optimal Stopping Problems / rank @@
+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 @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
+Normal rank
@@ Property / cites work @@
+COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
+Normal rank
@@ Property / cites work @@
+Efficient numerical methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
+Normal rank
@@ Property / cites work @@
+Perpetual options and Canadization through fluctuation theory
+Normal rank
@@ Property / cites work @@
+AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo pricing of American-style options under stochastic volatility models
+Normal rank
@@ Property / cites work @@
+On the investment-uncertainty relationship in a real option model with stochastic volatility
+Normal rank
@@ Property / cites work @@
+American options exercise boundary when the volatility changes randomly
+Normal rank