Pricing American continuous-installment options under stochastic volatility model

DOI10.1016/J.JMAA.2014.11.049zbMath1302.91181OpenAlexW2065144444MaRDI QIDQ482015

Guohe Deng

Publication date: 19 December 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.11.049

zbMATH Keywords

Volterra integral equationsstochastic volatility modelAmerican continuous-installment option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)

Related Items (2)

A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Perpetual cancellable American options with convertible features

Cites Work

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