Two Stochastic Volatility Processes - American Option Pricing
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References listed on IDEAS
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KeywordsAmerican options; Fourier transform; Laplace transform; method of characteristics;
- 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-2011-11-14 (All new papers)
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