Pricing American Options with Stochastic Volatility: Evidence from S&P 500 Futures Options
This article tests empirically a numerical solution to price American options under stochastic volatility. The model allows for a mean-reverting stochastic-volatility process with non-zero risk premium for the volatility risk and correlation with the underlying process. A general solution of risk-ne...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2000
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/2131 https://proquest.umi.com/pqdlink?did=57654421&sid=15&Fmt=3&clientId=44274&RQT=309&VName=PQD |
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