A Non-Lattice Pricing Model of American Options under Stochastic Volatility
In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1081 https://doi.org/10.1002/fut.20207 |
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| Institution: | Singapore Management University |
| Language: | English |
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