EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114)
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scientific article; zbMATH DE number 6850644
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING |
scientific article; zbMATH DE number 6850644 |
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EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (English)
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15 March 2018
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American options
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LSM algorithm
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stochastic differential equation
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explicit solution
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Monte Carlo simulation
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Heston model
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stochastic approximation
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