A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility
Year of publication: |
2009-09-03
|
---|---|
Authors: | Zhylyevskyy, Oleksandr |
Institutions: | Department of Economics, Iowa State University |
Subject: | stochastic volatility | heston model | Geske-Johnson scheme | fast fourier transform | characteristic function inversion |
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