The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
Year of publication: |
2009-02-01
|
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Authors: | Chiarella, Carl ; Kang, Boda |
Institutions: | Finance Discipline Group, Business School |
Subject: | American compound option | stochastic volatility | free boundary problem | sparse grid | combination technique | Monte Carlo simulation | method of lines |
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