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Search: subject:"Heston stochastic volatility model"
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American option
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Critical bound- ary
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Heston's Stochastic volatility model
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Interpolation method
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Quasi-analytical approximation
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Li, Minqiang
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes
Li, Minqiang
-
Volkswirtschaftliche Fakultät, …
-
2009
-of-the-money and long-maturity options. When applied to
Heston
's
stochastic
volatility
model
, our method is shown to be extremely e …
Persistent link: https://www.econbiz.de/10008459813
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