American option pricing under stochastic volatility: an empirical evaluation
DOI10.1007/S10287-008-0083-2zbMATH Open1186.91204OpenAlexW1995605587MaRDI QIDQ970137FDOQ970137
Suchandan Guha, Manisha Goswami, Farid AitSahlia
Publication date: 10 May 2010
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-008-0083-2
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Cites Work
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Cited In (14)
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Title not available (Why is that?)
- American option valuation under time changed tempered stable Lévy processes
- American option pricing under two stochastic volatility processes
- Pricing American options under Azzalini Ito-McKean skew Brownian motions
- Multiscale methods for the valuation of American options with stochastic volatility
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Empirical pricing American put options
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- Empirical option pricing: A retrospection
- Isogeometric analysis in option pricing
- The Valuation of American Options with Stochastic Stopping Time Constraints
- Title not available (Why is that?)
- American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
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