The Evaluation of American Compound Option Prices under Stochastic Volatility Using the Sparse Grid Approach-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

The Evaluation of American Compound Option Prices under Stochastic Volatility Using the Sparse Grid Approach

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chiarella Carl,Kang Boda

Publisher

Elsevier BV

Reference11 articles.

1. The Pricing of Corporate Liabilites;F Black;Journal of Political Economy,1973

2. Evaluation of compound options using perturbation approximation;J P Fouque;Journal of Computational Finance,2005

3. The valuation of compound options;R Geske;Journal of Financial Economics,1979

4. The american put option valued analytically;R Geske;Journal of Finance,1984

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes;Methodology and Computing in Applied Probability;2022-05-17

2. Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions;Methodology and Computing in Applied Probability;2022-05-14

3. Opticom and the Iterative Combination Technique for Convex Minimisation;Lecture Notes in Computational Science and Engineering;2014

4. The evaluation of barrier option prices under stochastic volatility;Computers & Mathematics with Applications;2012-09

5. Pricing European Options on Deferred Insurance Contracts;SSRN Electronic Journal;2012

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP