Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary
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- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2009.
"The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 393-425.
- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney.
- Oleksandr Zhylyevskyy, 2010.
"A fast Fourier transform technique for pricing American options under stochastic volatility,"
Review of Derivatives Research,
Springer, vol. 13(1), pages 1-24, April.
- Zhylyevskyy, Oleksandr, 2009. "A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility," Staff General Research Papers Archive 13112, Iowa State University, Department of Economics.
- Guglielmo Caporale & Mario Cerrato, 2010.
"Using Chebyshev Polynomials to Approximate Partial Differential Equations,"
Springer;Society for Computational Economics, vol. 35(3), pages 235-244, March.
- Guglielmo Maria Caporale & Mario Cerrato, 2008. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series 2308, CESifo Group Munich.
- Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
- Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi, 2013. "Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics," Research Paper Series 327, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12.
- Carl Chiarella & Jonathan Ziveyi, 2014. "Pricing American options written on two underlying assets," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 409-426, March.
- Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009. "An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series 256, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
KeywordsAmerican call option; Stochastic volatility; Early exercise boundary; Chebyshev polynomials;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-02-24 (All new papers)
- NEP-CFN-2003-02-24 (Corporate Finance)
- NEP-CMP-2003-02-24 (Computational Economics)
- NEP-RMG-2003-02-24 (Risk Management)
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