American options exercise boundary when the volatility changes randomly
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Publication:1288991
DOI10.1007/s002459900112zbMath0937.60039OpenAlexW2032531578WikidataQ127808108 ScholiaQ127808108MaRDI QIDQ1288991
Publication date: 28 May 2000
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s002459900112
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American Option Valuation with Particle Filters ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ The representation of American options prices under stochastic volatility and jump-diffusion dynamics ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ Operator trigonometry of multivariate finance
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