A fast Fourier transform technique for pricing American options under stochastic volatility
Oleksandr Zhylyevskyy
| Year of publication: |
2010
|
|---|---|
| Authors: | Zhylyevskyy, Oleksandr |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 13.2010, 1, p. 1-24
|
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Numerisches Verfahren | Numerical analysis | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008695503