American option pricing under two stochastic volatility processes

DOI10.1016/J.AMC.2013.08.047MaRDI QIDQ278970zbMATH OpenOpenAlexFDO

Authors Carl Chiarella, Jonathan Ziveyi

Publication date 27 April 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2013.08.047

zbMATH Keywords

Fourier transformLaplace transformAmerican optionsmethod of characteristics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• American options under stochastic volatility
• American option pricing under stochastic volatility: an empirical evaluation
• American option pricing under stochastic volatility: an efficient numerical approach
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• American option valuation under stochastic interest rates
• scientific article; zbMATH DE number 7089055
• American option valuation in a stochastic volatility model with transaction costs
• American options and stochastic interest rates
• Pricing American continuous-installment options under stochastic volatility model
• American-type options. Stochastic approximation methods. Volume 2

Cited in

(15)

• Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
• Numerical studies on asymptotics of European option under multiscale stochastic volatility
• American option pricing under stochastic volatility: an efficient numerical approach
• American option pricing under stochastic volatility: an empirical evaluation
• Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
• American option valuation under time changed tempered stable Lévy processes
• Pricing European options under stochastic volatilities models
• Pricing American options under Azzalini Ito-McKean skew Brownian motions
• An asymptotic expansion method for geometric Asian options pricing under the double Heston model
• American option pricing under the double Heston model based on asymptotic expansion
• On pricing options under two stochastic volatility processes
• Pricing European options on deferred annuities
• Pricing American options written on two underlying assets
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition

This page was built for publication: American option pricing under two stochastic volatility processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q278970)