American option pricing under stochastic volatility: an efficient numerical approach
type: Item
instance of: scholarly article
title: American option pricing under stochastic volatility: an efficient numerical approach
zbMATH Open document ID: 1186.91203
author: Manisha Goswami
author: Suchandan Guha
author: Farid AitSahlia
published in: Computational Management Science
publication date: 2010-05-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 90C59
zbMATH DE Number: 5706021
zbMATH Keywords: American option pricing
zbMATH Keywords: optimal stopping
zbMATH Keywords: approximate dynamic programming
zbMATH Keywords: stochastic volatility
zbMATH Keywords: Doob-Meyer decomposition
zbMATH Keywords: Monte Carlo
MaRDI profile type: Publication
full work available at URL: s10287-008-0082-3
OpenAlex ID: W2100308191
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DOI: 10.1007/S10287-008-0082-3
description: scientific article; zbMATH DE number 5706021