Operator splitting methods for pricing American options under stochastic volatility

Author： Ikonen Samuli  

Publisher： Springer Publishing Company

ISSN： 0029-599X

Source： Numerische Mathematik, Vol.113, Iss.2, 2009-08, pp. : 299-324

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE

By  

ANZIAM Journal, Vol. 58, Iss. 3-4, 2017-04 ,pp. : 406-416

Cambridge University Press

Access to resources Recommend Favorite

Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

By  

Advances in Applied Probability, Vol. 45, Iss. 2, 2013-06 ,pp. : 572-594

Cambridge University Press

Access to resources Recommend Favorite

Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models

By  

East Asian Journal on Applied Mathematics, Vol. 4, Iss. 1, 2014-02 ,pp. : 52-68

Cambridge University Press

Access to resources Recommend Favorite

PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES

By  

Probability in the Engineering and Informational Sciences, Vol. 31, Iss. 2, 2016-12 ,pp. : 121-138

Cambridge University Press

Access to resources Recommend Favorite

A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model

By  

Communications in Computational Physics, Vol. 17, Iss. 3, 2015-03 ,pp. : 761-778

Cambridge University Press

Access to resources Recommend Favorite