Pricing American options under stochastic volatility: A new method using Chebyshev polynomials to approximate the early exercise boundary
Year of publication: |
2003
|
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Authors: | Tzavalis, Elias ; Wang, Shijun |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Optionspreistheorie | Stochastischer Prozess | American call option, Stochastic volatility, Early exercise boundary, Chebyshev polynomials |
Series: | Working Paper ; 488 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 377031798 [GVK] hdl:10419/62928 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques |
Source: |
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