Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

DOI10.1007/978-3-642-03479-4_15zbMath1218.91152OpenAlexW1831177580MaRDI QIDQ3000886

Jonathan Ziveyi, Carl Chiarella, Andrew Ziogas

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_15

zbMATH Keywords

Duhamel's principleAmerican optionstochastic volatility modelFourier and Laplace transformsKolmogorov partial differential equationpricing equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A comparative study on time-efficient methods to price compound options in the Heston model ⋮ The representation of American options prices under stochastic volatility and jump-diffusion dynamics ⋮ The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques

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