A fast Fourier transform technique for pricing American options under stochastic volatility

DOI10.1007/s11147-009-9041-6zbMath1202.91342OpenAlexW2050178601WikidataQ57445757 ScholiaQ57445757MaRDI QIDQ965893

Oleksandr Zhylyevskyy

Publication date: 26 April 2010

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

Full work available at URL: https://lib.dr.iastate.edu/cgi/viewcontent.cgi?article=1045&context=econ_las_pubs

zbMATH Keywords

stochastic volatilityfast Fourier transformAmerican optionHeston modelcharacteristic function inversionGeske-Johnson scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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