American Options Under Stochastic Volatility
From MaRDI portal
Publication:3225913
DOI10.1287/opre.1110.0945zbMath1233.91259OpenAlexW3123413205MaRDI QIDQ3225913
Kumar Muthuraman, Arunachalam Chockalingam
Publication date: 26 March 2012
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1110.0945
Related Items (9)
The implication of missing the optimal-exercise time of an American option ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ Valuing switching options with the moving-boundary method ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ An improvement of an analytical approximation method for American options ⋮ A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes ⋮ Approximating stochastic volatility by recombinant trees ⋮ Pricing and exercising American options: an asymptotic expansion approach ⋮ BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
This page was built for publication: American Options Under Stochastic Volatility
