American option pricing under stochastic volatility: an empirical evaluation
| Year of publication: |
2010
|
|---|---|
| Authors: | AitSahlia, Farid ; Goswami, Manisha ; Guha, Suchandan |
| Published in: |
Computational Management Science. - Springer. - Vol. 7.2010, 2, p. 189-206
|
| Publisher: |
Springer |
| Subject: | Stochastic volatility | Indirect inference | Model calibration | American option pricing | S&P 100 index | Approximate dynamic programming |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008594131