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Pricing American options with stochastic volatility : evidence from S&P 500 futures options
Lim, Kian-Guan; Guo, Xiaoqiang - In: The journal of futures markets 20 (2000) 7, pp. 625-659
Persistent link: https://www.econbiz.de/10001523740
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Numerical Solution of Pricing of European Put Option with Stochastic Volatility
2011
In this paper, European put option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stock price from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved by...
Persistent link: https://www.econbiz.de/10013119720
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American option pricing under stochastic volatility : an efficient numerical approach
AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science : CMS 7 (2010) 2, pp. 171-187
Persistent link: https://www.econbiz.de/10003954086
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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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What order? : perturbation methods for stochastic volatility asset pricing and business cycle models
De Groot, Oliver - 2016
Persistent link: https://www.econbiz.de/10011539654
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What order? : perturbation methods for stochastic volatility asset pricing and business cycle models
De Groot, Oliver - 2016
Persistent link: https://www.econbiz.de/10011539664
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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217