American option pricing under stochastic volatility: an efficient numerical approach (Q970136)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: American option pricing under stochastic volatility: an efficient numerical approach |
scientific article; zbMATH DE number 5706021
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American option pricing under stochastic volatility: an efficient numerical approach |
scientific article; zbMATH DE number 5706021 |
Statements
American option pricing under stochastic volatility: an efficient numerical approach (English)
0 references
10 May 2010
0 references
American option pricing
0 references
optimal stopping
0 references
approximate dynamic programming
0 references
stochastic volatility
0 references
Doob-Meyer decomposition
0 references
Monte Carlo
0 references
0 references
0 references
