[图书][B] The Heston model and its extensions in Matlab and C
FD Rouah - 2013 - books.google.com
Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …
derivatives Since its introduction in 1993, the Heston model has become a popular model for …
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines
This paper considers the problem of numerically evaluating American option prices when
the dynamics of the underlying are driven by both stochastic volatility following the square …
the dynamics of the underlying are driven by both stochastic volatility following the square …
A simple approach to pricing American options under the Heston stochastic volatility model
NA Beliaeva, SK Nawalkha - Journal of Derivatives, 2010 - search.proquest.com
In a recent study, Nawalkha, Beliaeva, and Zreik (NBZ)(2010) presented a multidimensional
transform for generating path-independent trees for pricing American options under low …
transform for generating path-independent trees for pricing American options under low …
A fast Fourier transform technique for pricing American options under stochastic volatility
O Zhylyevskyy - Review of Derivatives Research, 2010 - Springer
This paper develops a non-finite-difference-based method of American option pricing under
stochastic volatility by extending the Geske-Johnson compound option scheme. The …
stochastic volatility by extending the Geske-Johnson compound option scheme. The …
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
BR Rambharat, AE Brockwell - 2010 - projecteuclid.org
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Page 1 The Annals of Applied Statistics 2010, Vol. 4, No. 1, 222–265 DOI: 10.1214/09-AOAS286 …
Page 1 The Annals of Applied Statistics 2010, Vol. 4, No. 1, 222–265 DOI: 10.1214/09-AOAS286 …
American option pricing under two stochastic volatility processes
C Chiarella, J Ziveyi - Applied Mathematics and Computation, 2013 - Elsevier
In this paper we consider the pricing of an American call option whose underlying asset
dynamics evolve under the influence of two independent stochastic volatility processes as …
dynamics evolve under the influence of two independent stochastic volatility processes as …
Using Chebyshev polynomials to approximate partial differential equations
GM Caporale, M Cerrato - Computational Economics, 2010 - Springer
This paper suggests a simple method based on a Chebyshev approximation at Chebyshev
nodes to approximate partial differential equations (PDEs). It consists in determining the …
nodes to approximate partial differential equations (PDEs). It consists in determining the …
[HTML][HTML] A new analytical approximation for European puts with stochastic volatility
In this paper, we apply singular perturbation techniques to price European puts with a
stochastic volatility model, and derive a simple and elegant analytical formula as an …
stochastic volatility model, and derive a simple and elegant analytical formula as an …
[图书][B] The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches
The early exercise opportunity of an American option makes it challenging to price and an
array of approaches have been proposed in the vast literature on this topic. In The …
array of approaches have been proposed in the vast literature on this topic. In The …
[图书][B] The heston model and its extensions in VBA
FD Rouah - 2015 - books.google.com
Practical options pricing for better-informed investment decisions. The Heston Model and Its
Extensions in VBA is the definitive guide to options pricing using two of the derivatives …
Extensions in VBA is the definitive guide to options pricing using two of the derivatives …