Showing 1 - 10 of 145
Persistent link: https://www.econbiz.de/10001415373
Persistent link: https://www.econbiz.de/10002251066
In this paper we consider various computational methods for pricing American style derivatives. We do so under both jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator-splitting, and the Crank-Nicolson scheme, the latter being...
Persistent link: https://www.econbiz.de/10014025717
We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston's stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327–343, 1993). We solve the Kolmogorov partial differential equation associated with...
Persistent link: https://www.econbiz.de/10013109439
A numerical technique for the evaluation of American spread call options where the underlying asset dynamics evolve under the influence of a single stochastic variance process of the Heston (1993) type is presented. The numerical algorithm involves extending to the multi-dimensional setting the...
Persistent link: https://www.econbiz.de/10013109451
In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes of the Heston (1993) type. We derive the associated partial differential equation (PDE) of the option price using hedging...
Persistent link: https://www.econbiz.de/10013109452
This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston [18], and by a Poisson jump process of the type originally introduced by Merton [25]. We...
Persistent link: https://www.econbiz.de/10013153463
This paper extends the integral transform approach of McKean (1965) and Chiarella and Ziogas (2005) to the pricing of American options written on more than one underlying asset under the Black and Scholes (1973) framework. A bivariate transition density function of the two underlying stochastic...
Persistent link: https://www.econbiz.de/10013091213
In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes as proposed in Christoffersen, Heston and Jacobs (2009). We consider the associated partial differential equation (PDE)...
Persistent link: https://www.econbiz.de/10013075463
options are numerically evaluated by the Method of Lines. The calibration of these models to S&P 100 American options data … reveals that jumps, especially asset jumps, play an important role in improving the models' ability to fit market data …
Persistent link: https://www.econbiz.de/10012895029