Pricing American options with uncertain volatility through stochastic linear complementarity models

اسناد مشابه

• Pricing American options with uncertain volatility through stochastic linear complementarity models

  مقاله‌ی دسترسی آزاد۲۰۱۰Computational Optimization and ApplicationsKenjiHamatani, MasaoFukushima

• A Shannon Wavelet Method for Pricing American Options under Two-Factor Stochastic Volatilities and Stochastic Interest Rate

  مقاله‌ی دسترسی آزاد۲۰۲۰Discrete Dynamics in Nature and SocietyHuangShoude, XunxiangGuo

• Pricing American Options in a Mild Stochastic Environment

  مقاله‌ی دسترسی آزاد۲۰۰۸SSRN Electronic JournalMoisaAltar, JuditaSamuel

• Pricing American Options under Stochastic Volatility : A New Method Using

  سند علمی۲۰۰۲Elias Tzavalis, Shijun Wang

  This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic. By exploiting a log-linear relationship of the optimal exercise boundary with respect to volatility changes, we derive an integral

• Operator Splitting Methods for Pricing American Options with Stochastic Volatility

  سند علمی۲۰۰۴Samuli Ikonen, Jari Toivanen

  Stochastic volatility models lead to more realistic option prices than the Black-Scholes model which uses a constant volatility. Based on such models a two-dimensional parabolic partial differential equation can derived for option prices. Due to the early exercise possibility of

• The Pricing of Options on Assets with Stochastic Volatilities

  سند علمی۲۰۰۷Alan White, JOHN HULL

  One option-pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independen