American option pricing under stochastic volatility: an empirical evaluation (Q970137)
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scientific article; zbMATH DE number 5706022
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| English | American option pricing under stochastic volatility: an empirical evaluation |
scientific article; zbMATH DE number 5706022 |
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American option pricing under stochastic volatility: an empirical evaluation (English)
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10 May 2010
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stochastic volatility
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indirect inference
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model calibration
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American option pricing
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S\&P 100 index
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approximate dynamic programming
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0.9514853
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0.9496556
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0.94160527
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0.93972504
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0.9329119
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0.92388004
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