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American option pricing under stochastic volatility: an efficient numerical approach

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  • Farid AitSahlia

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  • Manisha Goswami
  • Suchandan Guha
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    File URL: http://hdl.handle.net/10.1007/s10287-008-0082-3
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    Bibliographic Info

    Article provided by Springer in its journal Computational Management Science.

    Volume (Year): 7 (2010)
    Issue (Month): 2 (April)
    Pages: 171-187

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    Handle: RePEc:spr:comgts:v:7:y:2010:i:2:p:171-187

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    Web page: http://www.springerlink.com/link.asp?id=111894

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    Related research

    Keywords: American option pricing; Optimal stopping; Approximate dynamic programming; Stochastic volatility; Doob–Meyer decomposition; Monte–Carlo;

    References

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    1. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
    2. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
    3. Andrew Ziogas & Carl Chiarella, 2005. "Pricing American Options under Stochastic Volatility," Computing in Economics and Finance 2005 77, Society for Computational Economics.
    4. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    5. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
    6. S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
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