American option pricing with discrete and continuous time models : an empirical comparison
Lars Stentoft
| Year of publication: |
2011
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|---|---|
| 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
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| Subject: | American options | Augmented GARCH | Least squares Monte Carlo | Stochastic volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Kleinste-Quadrate-Methode | Least squares method |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009492526