Pricing multi-asset American option under Heston stochastic volatility model
Oldouz Samimi and Farshid Mehrdoust
| Year of publication: |
September 2018
|
|---|---|
| Authors: | Samimi, Oldouz ; Mehrdoust, Farshid |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 3, p. 1-16
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| Subject: | American option | multi-asset | stochastic volatility model | Monte Carlo simulation | Least-Squares Monte-Carlo simulation | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Simulation | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500263 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923057