American stochastic volatility call option pricing: a lattice based approach

DOI10.1007/BF01531598zbMATH Open1274.91411MaRDI QIDQ375256FDOQ375256

Michael J. Tomas, Thomas J. Finucane

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)

Cites Work

• Title not available (Why is that?)
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• The pricing of options and corporate liabilities
• 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
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing: A simplified approach
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited In (7)

• 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
• 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

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