American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
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Publication:5001107
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A martingale control variate method for option pricing with stochastic volatility
- A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
- American options exercise boundary when the volatility changes randomly
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Efficient numerical methods for pricing American options under stochastic volatility
- Finite expiry Russian options
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Maturity randomization for stochastic control problems
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Nearest neighbor based estimation technique for pricing Bermudan options
- On the investment-uncertainty relationship in a real option model with stochastic volatility
- Perpetual options and Canadization through fluctuation theory
- Pricing American-style securities using simulation
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- Randomization and the American put
- Sequential design for optimal stopping problems
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models
- The pricing of options on assets with stochastic volatilities
- Valuing American options by simulation: a simple least-squares approach
Cited in
(18)- Variable annuity with a surrender option under multiscale stochastic volatility
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- Pricing and exercising American options: an asymptotic expansion approach
- Maturity randomization for stochastic control problems
- Asymptotic behavior of random maturity American options
- Alternative randomization for valuing American options
- scientific article; zbMATH DE number 2107023 (Why is no real title available?)
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- Mixing LSMC and PDE methods to price Bermudan options
- Discrete-type approximations for non-Markovian optimal stopping problems. I
- Optimal retirement under partial information
- Pricing American lookback options under a stochastic volatility model
- Valuing of timer path-dependent options
- On Erlangization and extrapolation, with applications to financial regime-switching Lévy models
- Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion
- Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques
- Analytical approximations for American option pricing under regime-switching models
- Pricing American option with a slow-varying stochastic factor
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