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    WSC
    2007
    151views Modeling And Simulation» more  WSC 2007»
    American option pricing under stochastic volatility: a simulation-based approach
    14 years 11 months ago
    American option pricing under stochastic volatility: a simulation-based approach
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    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...
    Arunachalam Chockalingam, Kumar Muthuraman
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