A fast Fourier transform technique for pricing American options under stochastic volatility
| Year of publication: |
2010
|
|---|---|
| Authors: | Zhylyevskyy, Oleksandr |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 1, p. 1-24
|
| Publisher: |
Springer |
| Subject: | American option | Stochastic volatility | Heston model | Geske-Johnson scheme | Fast Fourier transform | Characteristic function inversion |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010867544