A fast Fourier transform technique for pricing American options under stochastic volatility (Q965893)
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scientific article; zbMATH DE number 5701661
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| English | A fast Fourier transform technique for pricing American options under stochastic volatility |
scientific article; zbMATH DE number 5701661 |
Statements
A fast Fourier transform technique for pricing American options under stochastic volatility (English)
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26 April 2010
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American option
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stochastic volatility
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Heston model
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Geske-Johnson scheme
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fast Fourier transform
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characteristic function inversion
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0.8794298768043518
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0.8244321942329407
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0.8172628283500671
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0.8082818388938904
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0.8081910610198975
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