Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme
Year of publication: |
2005-11-11
|
---|---|
Authors: | Zhylyevskyy, Oleksandr |
Institutions: | Society for Computational Economics - SCE |
Subject: | American-style option | stochastic volatility model | Geske–Johnson scheme | characteristic function inversion | fast Fourier transform |
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