A fast Fourier transform technique for pricing American options under stochastic volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-009-9041-6.pdf
Reference35 articles.
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3. Bakshi G., Madan D. (2000) Spanning and derivative-security valuation. Journal of Financial Economics 55: 205–238
4. Barone-Adesi G., Whaley R. E. (1987) Efficient analytic approximation of American option values. Journal of Finance 42: 301–320
5. Bates D. S. (1996) Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche mark options. Review of Financial Studies 9: 69–108
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