EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING
Publication:4608114
DOI10.1142/S0219024918500061zbMath1395.91454arXiv1608.02028OpenAlexW2788096234MaRDI QIDQ4608114
Publication date: 15 March 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.02028
stochastic differential equationstochastic approximationMonte Carlo simulationAmerican optionsexplicit solutionHeston modelLSM algorithm
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
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