American option pricing under stochastic volatility efficient numerical approaches

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Access to full text is restricted to subscribers. As the access to this document is restricted, you may want to look for a different version under "Related research" further below or search for a different version of it. Bibliographic Info Article provided by Springer in its journal Computational Management Science. American option pricing ; Optimal stopping ; Approximate dynamic programming ; Stochastic volatility ; Doob—Meyer decomposition ; Monte—Carlo ; References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: A nonparametric investigation ," Journal of Econometrics , Elsevier, vol.

A Nonparametric Investigation ," CIRANO Working Papers 96s, CIRANO. Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages World Scientific Publishing Co. A Simple Least-Squares Approach ," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.

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American option pricing under stochastic volatility: an efficient numerical approach

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Log in now much improved! American option pricing under stochastic volatility: Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

American-Type Options: Stochastic Approximation Methods - Dmitrii S. Silvestrov - Google Livres

Farid AitSahlia Manisha Goswami Suchandan Guha. No abstract is available for this item. Article provided by Springer in its journal Computational Management Science. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. American option pricing ; Optimal stopping ; Approximate dynamic programming ; Stochastic volatility ; Doob—Meyer decomposition ; Monte—Carlo ;.

References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.

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