LSM algorithm for pricing American option under Heston-Hull-White's stochastic volatility model
O. Samimi, Z. Mardani, S. Sharafpour, F. Mehrdoust
| Year of publication: |
August 2017
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| Authors: | Samimi, O. ; Mardani, Z. ; Sharafpour, S. ; Mehrdoust, F. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 2, p. 173-187
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| Subject: | American option | Heston-Hull-White model | LSM method | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9598-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762377