Pricing multi-asset American option under Heston stochastic volatility model
Year of publication: |
September 2018
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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 | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Experiment | Simulation | Optionsgeschäft | Option trading |
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