Pricing American continuous-installment options under stochastic volatility model
DOI10.1016/J.JMAA.2014.11.049zbMATH Open1302.91181OpenAlexW2065144444MaRDI QIDQ482015FDOQ482015
Publication date: 19 December 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.11.049
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Volterra integral equations (45D05)
Cites Work
- Title not available (Why is that?)
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Cited In (7)
- Perpetual cancellable American options with convertible features
- American option pricing under two stochastic volatility processes
- A variational inequality arising from American installment call options pricing
- A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
- A robust numerical solution to a time-fractional Black-Scholes equation
- Pricing, no-arbitrage bounds and robust hedging of instalment options
- Valuation of American continuous-installment put options
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