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American option pricing under stochastic volatility: an empirical evaluation

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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/s10287-008-0083-2
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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: 189-206

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    Handle: RePEc:spr:comgts:v:7:y:2010:i:2:p:189-206

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

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    Related research

    Keywords: Stochastic volatility; Indirect inference; Model calibration; American option pricing; S&P 100 index; Approximate dynamic programming;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Melino, Angelo & Turnbull, Stuart M., 1995. "Misspecification and the pricing and hedging of long-term foreign currency options," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 373-393, June.
    2. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
    3. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    4. Kaushik I. Amin & Robert A. Jarrow, 1992. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 217-237.
    5. Amin, Kaushik I & Ng, Victor K, 1993. " Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, vol. 48(3), pages 881-910, July.
    6. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
    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. Bailey, Warren & Stulz, René M., 1989. "The Pricing of Stock Index Options in a General Equilibrium Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 1-12, March.
    9. 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.
    10. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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