American option pricing under stochastic volatility: an efficient numerical approach
From MaRDI portal
(Redirected from Publication:970136)
Recommendations
- Assessing the least squares Monte-Carlo approach to American option valuation
- A fast Fourier transform technique for pricing American options under stochastic volatility
- American option pricing under two stochastic volatility processes
- American options under stochastic volatility
- Multigrid for American option pricing with stochastic volatility
Cites work
- scientific article; zbMATH DE number 3812862 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 2232710 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- American options with stochastic dividends and volatility: a nonparametric investigation
- An analysis of a least squares regression method for American option pricing
- Evaluation of American strangles
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Optimal Stopping and the American Put
- The pricing of options and corporate liabilities
- Two singular diffusion problems
- Valuing American options by simulation: a simple least-squares approach
Cited in
(24)- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- scientific article; zbMATH DE number 5710731 (Why is no real title available?)
- Operator splitting methods for pricing American options under stochastic volatility
- Variational Formulation of American Option Prices in the Heston Model
- A fast Fourier transform technique for pricing American options under stochastic volatility
- A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
- American option pricing under two stochastic volatility processes
- American option pricing under stochastic volatility: an empirical evaluation
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- American options under stochastic volatility
- Stochastic optimization algorithms for pricing American put options under regime-switching models
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- CTMC integral equation method for American options under stochastic local volatility models
- Isogeometric analysis in option pricing
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
- scientific article; zbMATH DE number 2107023 (Why is no real title available?)
- scientific article; zbMATH DE number 5172395 (Why is no real title available?)
- Multiscale methods for the valuation of American options with stochastic volatility
- Mixing LSMC and PDE methods to price Bermudan options
- Pricing American continuous-installment options under stochastic volatility model
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Effect of different basis functions on the LSM pricing of American option
This page was built for publication: American option pricing under stochastic volatility: an efficient numerical approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q970136)
