Calibration to American options : numerical investigation of the de-Americanization method
O. Burkovska, M. Gass, K. Glau, M. Mahlstedt, W. Schoutens and B. Wohlmuth
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Burkovska, O. ; Gass, M. ; Glau, Kathrin ; Mahlstedt, M. ; Schoutens, W. ; Wohlmuth, Barbara |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 7, p. 1091-1113
|
| Subject: | American options | Model calibration | Binomial tree model | CEV model | Heston model | Lévy models | Model reduction | Variational inequalities | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Modellierung | Scientific modelling | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1417622 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911523