American option pricing under stochastic volatility: an efficient numerical approach (Q970136)
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scientific article; zbMATH DE number 5706021
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| English | American option pricing under stochastic volatility: an efficient numerical approach |
scientific article; zbMATH DE number 5706021 |
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American option pricing under stochastic volatility: an efficient numerical approach (English)
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10 May 2010
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American option pricing
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optimal stopping
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approximate dynamic programming
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stochastic volatility
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Doob-Meyer decomposition
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Monte Carlo
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0.8191462755203247
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0.8082818388938904
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0.8042049407958984
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0.8028416633605957
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0.8005439043045044
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