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A fast Fourier transform technique for pricing American options under stochastic volatility
16 references·7 citing·27 second hop
A fast Fourier transform technique for pricing American options under stochastic volatility (2009)A fast Fourier transform technique for pr…Theory of rational option pricing (2005)Theory of rational option pri…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Spanning and derivative-security valuation (2000)Spanning and derivative-secur…A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)A study towards a unified app…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The American Put Option Valued Analytically (1984)The American Put Option Value…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The role of green reputation, carbon trading and government intervention in determining the green bond pricing: An externality perspective (2023)The role of green reputation,…Calibration and simulation of Heston model (2017)Calibration and simulation of…Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach (2014)Pricing Barrier and Bermudan …Advancing the universality of quadrature methods to any underlying process for option pricing (2014)Advancing the universality of…Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (2013)Fast Fourier transform option…A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (2012)A fast numerical approach to …Efficient Options Pricing Using the Fast Fourier Transform (2011)Efficient Options Pricing Usi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)There is a risk-return trade-off after all (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Volatility and Macroeconomic Fundamentals (2012)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option pricing: A simplified approach (1979)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

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554 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • Cited by

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    • 2023The role of green reputation, carbon trading and government intervention in determining the green bond pricing: An externality perspective27 cited
    • 2014Advancing the universality of quadrature methods to any underlying process for option pricing24 cited
    • 2013Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps23 cited
    • 2012A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps22 cited