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In this paper, European put option pricing with stochastic volatility forecasted by well known GARCH model is discussed …
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-of-the-money and long-maturity options. When applied to Heston's stochastic volatility model, our method is shown to be extremely …
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The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy of almost any existing quasi-analytic approach...
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's stochastic volatility model, our method is shown to be extremely efficient and fairly accurate …
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