American option pricing under stochastic volatility: an empirical evaluation

DOI10.1007/S10287-008-0083-2MaRDI QIDQ970137zbMATH OpenOpenAlexFDO

Authors Manisha Goswami, Suchandan Guha, 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

zbMATH Keywords

indirect inferencestochastic volatilityapproximate dynamic programmingAmerican option pricingmodel calibrationS\&P 100 index

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Approximation methods and heuristics in mathematical programming (90C59) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• ARCH models as diffusion approximations
• Efficient numerical methods for pricing American options under stochastic volatility
• Financial Modelling with Jump Processes
• Penalty methods for American options with stochastic volatility
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Pricing foreign currency options with stochastic volatility
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• Products of trees for investment analysis
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• Two singular diffusion problems
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(14)

• Generative Bayesian neural network model for risk-neutral pricing of American index options
• American option valuation under time changed tempered stable Lévy processes
• scientific article; zbMATH DE number 2107023 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 1279074 (Why is no real title available?)
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis

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