A fast Fourier transform technique for pricing American options under stochastic volatility
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 13 (2010)
Issue (Month): 1 (April)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=102989
American option; Stochastic volatility; Heston model; Geske-Johnson scheme; Fast Fourier transform; Characteristic function inversion;
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