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Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics

Adolfsson, Thomas; Chiarella, Carl; Ziogas, Andrew; … - Finance Discipline Group, Business School - 2013

In this paper we consider the evaluation of American call options on dividend paying stocks in the case where the underlying asset price evolves according to Heston’s (1993) stochastic volatility model. We solve the Kolmogorov partial differential equation associated with the driving...

Persistent link: https://www.econbiz.de/10010754097

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach

Chiarella, Carl; Ziogas, Andrew - In: Applied mathematical finance 16 (2009) 1, pp. 37-80

Persistent link: https://www.econbiz.de/10008211950

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach

Chiarella, Carl; Ziogas, Andrew - In: Applied mathematical finance 16 (2009) 1-2, pp. 37-80

Persistent link: https://www.econbiz.de/10008311801

Evaluation of American strangles

Chiarella, Carl; Ziogas, Andrew - 2002

Persistent link: https://www.econbiz.de/10001732768

Evaluation of American strangles

Chiarella, Carl; Ziogas, Andrew - In: Journal of economic dynamics & control 29 (2005) 1/2, pp. 31-62

Persistent link: https://www.econbiz.de/10002590105

McKean's method applied to American call options on jump-diffusion processes

Chiarella, Carl; Ziogas, Andrew - 2004

Persistent link: https://www.econbiz.de/10002251066

A survey of the integral representation of American option prices

Chiarella, Carl; Ziogas, Andrew - 2004

Persistent link: https://www.econbiz.de/10002251077

Pricing American options on jump-diffusion processes using Fourier Hermite series expansions

Chiarella, Carl; Ziogas, Andrew - 2005

Persistent link: https://www.econbiz.de/10002721489

Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

Chiarella, Carl - 2012

We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston's stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327–343, 1993). We solve the Kolmogorov partial differential equation associated with...

Persistent link: https://www.econbiz.de/10013109439

The representation of American options prices under stochastic volatility and jump-diffusion dynamics

Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009

Persistent link: https://www.econbiz.de/10009233319