American option pricing under stochastic volatility: an efficient numerical approach
| Year of publication: |
2010
|
|---|---|
| Authors: | AitSahlia, Farid ; Goswami, Manisha ; Guha, Suchandan |
| Published in: |
Computational Management Science. - Springer. - Vol. 7.2010, 2, p. 171-187
|
| Publisher: |
Springer |
| Subject: | American option pricing | Optimal stopping | Approximate dynamic programming | Stochastic volatility | Doob–Meyer decomposition | Monte–Carlo |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008594127