A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility
Year of publication: |
2009-09-03
|
---|---|
Authors: | Zhylyevskyy, Oleksandr |
Institutions: | Department of Economics, Iowa State University |
Subject: | stochastic volatility | heston model | Geske-Johnson scheme | fast fourier transform | characteristic function inversion |
-
A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr, (2010)
-
Veraart, Almut E. D., (2013)
-
Zhylyevskyy, Oleksandr, (2005)
- More ...
-
Time in Eating and Food Preparation among Single Adults
Senia, Mark C., (2014)
-
The Impact of Deposit Insurance on Depositor Behavior During a Crisis: A Conjoint Analysis Approach
Boyle, Glenn, (2015)
-
Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns
Khovansky, Serguey, (2012)
- More ...