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A tree-based method to price American options in the Heston model
15 references·1 citing·37 second hop
A tree-based method to price American options in the Heston model (2009)A tree-based method to price American opt…A comparison of biased simulation schemes for stochastic volatility models (2009)A comparison of biased simula…Simple and efficient simulation of the Heston stochastic volatility model (2008)Simple and efficient simulati…Efficient numerical methods for pricing American options under stochastic volatility (2007)Efficient numerical methods f…COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (2007)COMPONENTWISE SPLITTING METHO…Not-so-complex logarithms in the Heston model (2006)Not-so-complex logarithms in …Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Efficient Pricing of Derivatives on Assets with Discrete Dividends (2006)Efficient Pricing of Derivati…A Didactic Note on Affine Stochastic Volatility Models (2006)A Didactic Note on Affine Sto…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (2005)A Closed-Form Solution for Op…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Multigrid for American option pricing with stochastic volatility (1999)Multigrid for American option…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…ADI Schemes for Pricing American Options under the Heston Model (2015)ADI Schemes for Pricing Ameri…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)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)Option pricing when underlying stock returns are discontinuous (1976)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Operator splitting methods for pricing American options under stochastic volatility (2009)Pricing American options under stochastic volatility and stochastic interest rates (2010)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Theory of the Term Structure of Interest Rates (1985)Numerical solution of stochastic differential equations (2016)Exploring the sources of default clustering (2018)Deep hedging (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Theory of Rational Option Pricing (1973)Jump Diffusion Option Valuation in Discrete Time (1993)A Simple Nonparametric Approach to Derivative Security Valuation (1996)Challenges to the practical implementation of modeling and valuing real options (1998)Continuous Martingales and Brownian Motion (1999)A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)First order strong approximations of scalar SDEs defined in a domain (2014)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)On the Heston Model with Stochastic Interest Rates (2011)Realized Skewness (2012)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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References

  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
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  • 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited
  • 1999Multigrid for American option pricing with stochastic volatility208 cited
  • 2007Efficient numerical methods for pricing American options under stochastic volatility157 cited
  • 2006Not-so-complex logarithms in the Heston model109 cited
  • 2006A Didactic Note on Affine Stochastic Volatility Models92 cited
  • 2005A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options90 cited
  • 2006Efficient Pricing of Derivatives on Assets with Discrete Dividends80 cited
  • 2007COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

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  • 2015ADI Schemes for Pricing American Options under the Heston Model44 cited