American option pricing with discrete and continuous time models : an empirical comparison
Year of publication: |
2011
|
---|---|
Authors: | Stentoft, Lars |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 5, p. 880-902
|
Subject: | American options | Augmented GARCH | Least squares Monte Carlo | Stochastic volatility | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |
-
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars, (2017)
-
JDOI variance reduction method and the pricing of American-style options
Auster, Johan, (2022)
-
Pricing the exotic : path-dependent American options with stochastic barriers
Rojas-Bernal, Alejandro, (2021)
- More ...
-
Bayesian option pricing using mixed normalheteroskedasticity models
Rombouts, Jeroen, (2009)
-
Stentoft, Lars, (2020)
-
American option pricing with importance sampling and shifted regressions
Boire, Francois-Michel, (2021)
- More ...