American option pricing under stochastic volatility: an empirical evaluation

DOI10.1007/s10287-008-0083-2zbMath1186.91204OpenAlexW1995605587MaRDI QIDQ970137

Suchandan Guha, Manisha Goswami, Farid AitSahlia

Publication date: 10 May 2010

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-008-0083-2

zbMATH Keywords

stochastic volatilityAmerican option pricingmodel calibrationindirect inferenceapproximate dynamic programmingS\&P 100 index

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Isogeometric analysis in option pricing ⋮ American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis ⋮ Multiscale methods for the valuation of American options with stochastic volatility ⋮ Generative Bayesian neural network model for risk-neutral pricing of American index options

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