3 search results - page 1 / 1 » American option pricing under stochastic volatility: a simul... |
WSC
2007
13 years 7 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
WSC
2004
13 years 6 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
TON
2002
13 years 4 months ago
2002
The existing telecommunications infrastructure in most of the world is adequate to deliver voice and text applications, but demand for broadband services such as streaming video an...