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Representation of American option prices under Heston stochastic volatility dynamics using integral transforms

Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010

Persistent link: https://www.econbiz.de/10008749199

An analysis of American options under heston stochastic volatility and jump-diffusion dynamics

Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009

Persistent link: https://www.econbiz.de/10009233319

Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009

Persistent link: https://www.econbiz.de/10008662364

Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108

Persistent link: https://www.econbiz.de/10008779603

Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008

Persistent link: https://www.econbiz.de/10003857131

Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

Chiarella, Carl - 2012

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