The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
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- 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.
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- 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.
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- Mahayni, Antje & Schoenmakers, John G.M., 2011. "Minimum return guarantees with fund switching rights—An optimal stopping problem," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1880-1897.
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More about this item
KeywordsAmerican compound option; stochastic volatility; free boundary problem; sparse grid; combination technique; Monte Carlo simulation; method of lines;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-14 (All new papers)
- NEP-CMP-2009-03-14 (Computational Economics)
- NEP-ORE-2009-03-14 (Operations Research)
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