Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Michael A. Kouritzin
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Kouritzin, Michael A. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 1, p. 1-45
|
| Subject: | American options | LSM algorithm | stochastic differential equation | explicit solution | Monte Carlo simulation | Heston model | stochastic approximation | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Algorithmus | Algorithm | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500061 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011846484