Calibration to American options: numerical investigation of the de-americanization method (Q4554482)
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scientific article; zbMATH DE number 6979514
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| English | Calibration to American options: numerical investigation of the de-americanization method |
scientific article; zbMATH DE number 6979514 |
Statements
Calibration to American options: numerical investigation of the de-Americanization method (English)
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14 November 2018
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American options
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model calibration
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binomial tree model
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CEV model
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Heston model
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Lévy models
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model reduction
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variational inequalities
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0.7843301892280579
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0.7725481390953064
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0.750441312789917
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0.7440433502197266
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0.7359717488288879
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