Investigating Time-Efficient Methods to Price Compound Options in the Heston Model
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References listed on IDEAS
- Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010.
"A comparison of biased simulation schemes for stochastic volatility models,"
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- Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
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9319, University Library of Munich, Germany.
- Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
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