An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes-Reference-Cited by-同舟云学术

An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes

Published:2019-10-22 Issue:2 Volume:56 Page:499-528
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Jeon Junkee,Huh Jeonggyu,Park Kyunghyun^ORCID

Funder

National Research Foundation of Korea

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-019-09939-2.pdf

Reference26 articles.

1. Agarwal, A., Juneja, S., & Sircar, R. (2016). American options under stochastic volatility: Control variates, maturity randomization & multiscale asymptotics. Quantitative Finance, 16(1), 17–30.

2. Bollerslev, T., & Mikkelsen, O. H. (1996). Modeling and pricing long memory in stock market volatility. Journal of Econometrics, 73, 151–184.

3. Bouchard, B., Karoui, N. El, & Touzi, N. (2005). Maturity randomisation for stochastic control problems. The Annals of Applied Probability, 15, 2575–2605.

4. Carr, P. (1998). Randomization and the American put. Review of Financial Studies, 11, 597–626.

5. Chiarella, C., & Ziogas, A. (2005). Pricing American options under stochastic volatility. Computing in Economics and Finance, 77, Society for Computational Economics.

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