American option pricing under stochastic volatility: an efficient numerical approach
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Volume (Year): 7 (2010)
Issue (Month): 2 (April)
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- 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.
- Andrew Ziogas & Carl Chiarella, 2005. "Pricing American Options under Stochastic Volatility," Computing in Economics and Finance 2005 77, Society for Computational Economics.
- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
- Manuel Moreno & Javier R. Navas, 2001.
"On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives,"
Economics Working Papers
543, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
- 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.
- Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996.
"American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation,"
CIRANO Working Papers
- 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.
- 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.
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