American option pricing under stochastic volatility: A simulation-based approach

2007 Winter Simulation Conference ◽

10.1109/wsc.2007.4419696 ◽

2007 ◽

Author(s):

Arunachalam Chockalingam ◽

Kumar Muthuraman

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing ◽

Simulation Based

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American option pricing under two stochastic volatility processes

Applied Mathematics and Computation ◽

10.1016/j.amc.2013.08.047 ◽

2013 ◽

Vol 224 ◽

pp. 283-310 ◽

Author(s):

Carl Chiarella ◽

Jonathan Ziveyi

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing

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American option pricing under stochastic volatility: an empirical evaluation

Computational Management Science ◽

10.1007/s10287-008-0083-2 ◽

2008 ◽

Vol 7 (2) ◽

pp. 189-206 ◽

Author(s):

Farid AitSahlia ◽

Manisha Goswami ◽

Suchandan Guha

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Empirical Evaluation ◽

American Option ◽

American Option Pricing

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Two Stochastic Volatility Processes - American Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.2019348 ◽

2011 ◽

Author(s):

Carl Chiarella ◽

Jonathan Ziveyi

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing

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American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis

Journal of Statistical Computation and Simulation ◽

10.1080/00949655.2019.1577857 ◽

2019 ◽

Vol 89 (7) ◽

pp. 1322-1339 ◽

Author(s):

Somayeh Fallah ◽

Farshid Mehrdoust

Keyword(s):

Option Pricing ◽

Strong Convergence ◽

Convergence Analysis ◽

Stochastic Volatility ◽

Model Simulation ◽

American Option ◽

Stochastic Volatility Model ◽

American Option Pricing ◽

Volatility Model

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American option pricing under stochastic volatility: an efficient numerical approach

Computational Management Science ◽

10.1007/s10287-008-0082-3 ◽

2008 ◽

Vol 7 (2) ◽

pp. 171-187 ◽

Author(s):

Farid AitSahlia ◽

Manisha Goswami ◽

Suchandan Guha

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Numerical Approach ◽

American Option ◽

American Option Pricing

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Multigrid for American option pricing with stochastic volatility

Applied Mathematical Finance ◽

10.1080/135048699334528 ◽

1999 ◽

Vol 6 (3) ◽

pp. 177-195 ◽

Author(s):

Nigel Clarke ◽

Kevin Parrott

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing

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A new stochastic gradient estimator for American option pricing

2009 European Control Conference (ECC) ◽

10.23919/ecc.2009.7074567 ◽

2009 ◽

Author(s):

Yongqiang Wang ◽

Michael C. Fu ◽

Steven I. Marcus

Keyword(s):

Option Pricing ◽

American Option ◽

Stochastic Gradient ◽

American Option Pricing

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American Option Pricing Under GARCH With Non-Normal Innovations

SSRN Electronic Journal ◽

10.2139/ssrn.3166295 ◽

2017 ◽

Author(s):

Jean-Guy Simonato

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing

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Operator splitting methods for American option pricing

Applied Mathematics Letters ◽

10.1016/j.aml.2004.06.010 ◽

2004 ◽

Vol 17 (7) ◽

pp. 809-814 ◽

Author(s):

S. Ikonen ◽

J. Toivanen

Keyword(s):

Option Pricing ◽

Operator Splitting ◽

American Option ◽

Splitting Methods ◽

American Option Pricing ◽

Operator Splitting Methods

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American option pricing using Bayesian multi-layer perceptrons and Bayesian support vector machines

IEEE 3rd International Conference on Computational Cybernetics, 2005. ICCC 2005. ◽

10.1109/icccyb.2005.1511576 ◽

2006 ◽

Author(s):

M.M. Pires ◽

T. Marwala

Keyword(s):

Support Vector Machines ◽

Option Pricing ◽

American Option ◽

Support Vector ◽

American Option Pricing ◽

Vector Machines ◽

Bayesian Support

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