American stochastic volatility call option pricing: a lattice based approach

DOI10.1007/BF01531598zbMath1274.91411MaRDI QIDQ375256

Michael J. Tomas, Thomas J. Finucane

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

optionsnumerical pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

A hybrid stock trading system using genetic network programming and mean conditional value-at-risk ⋮ American Option Valuation with Particle Filters ⋮ A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Hedging options under transaction costs and stochastic volatility ⋮ Sequential Monte Carlo pricing of American-style options under stochastic volatility models ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes

Cites Work

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• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing: A simplified approach

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