American stochastic volatility call option pricing: a lattice based approach

DOI10.1007/BF01531598MaRDI QIDQ375256zbMATH OpenFDO

Authors Thomas J. Finucane, Michael J. Tomas

Publication date 29 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

optionsnumerical pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
• Pricing volatility options via the lattice algorithm
• A fast Fourier transform technique for pricing American options under stochastic volatility
• Stochastic volatility models with application in option pricing
• American options under stochastic volatility

Cites work

• scientific article; zbMATH DE number 194921 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Option pricing: A simplified approach
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• The pricing of options on assets with stochastic volatilities
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(9)

• Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
• Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• American Option Valuation with Particle Filters
• A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
• Pricing volatility options via the lattice algorithm
• Option pricing under stochastic volatility models with latent volatility
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
• Hedging options under transaction costs and stochastic volatility

This page was built for publication: American stochastic volatility call option pricing: a lattice based approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375256)