Add to ORKGCommons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard 2001. We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condition. 1
In this paper we consider the pricing of an American call option whose underlying asset dynamics evo...
Efficient numerical methods for pricing American options using Heston's stochastic volatility ...
We introduce a new analytical approach to price American options. Using an explicit and intuitive pr...
We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-...
In the present paper we analyse the American option valuation problem in a stochastic volatility mod...
In this paper we show that the American price of standard (bounded) options in the Black-Scholes one...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
University of Technology Sydney. Faculty of Business.The American option pricing problem lies on the...
We study some properties of the American option price in the stochastic volatility Heston model. We ...
The problem of pricing an American option written on an underlying asset with constant price volatil...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Stochastic volatility models lead to more realistic option prices than the Black-Scholes model whic...
We study standard option prices in the one-dimensional Avellaneda-Lyons model with unknown volatilit...
We investigate some properties of American option prices in the setting of time- and level-dependent...
AbstractWe investigate some properties of American option prices in the setting of time- and level-d...
In this paper we consider the pricing of an American call option whose underlying asset dynamics evo...
Efficient numerical methods for pricing American options using Heston's stochastic volatility ...
We introduce a new analytical approach to price American options. Using an explicit and intuitive pr...
We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-...
In the present paper we analyse the American option valuation problem in a stochastic volatility mod...
In this paper we show that the American price of standard (bounded) options in the Black-Scholes one...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
University of Technology Sydney. Faculty of Business.The American option pricing problem lies on the...
We study some properties of the American option price in the stochastic volatility Heston model. We ...
The problem of pricing an American option written on an underlying asset with constant price volatil...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Stochastic volatility models lead to more realistic option prices than the Black-Scholes model whic...
We study standard option prices in the one-dimensional Avellaneda-Lyons model with unknown volatilit...
We investigate some properties of American option prices in the setting of time- and level-dependent...
AbstractWe investigate some properties of American option prices in the setting of time- and level-d...
In this paper we consider the pricing of an American call option whose underlying asset dynamics evo...
Efficient numerical methods for pricing American options using Heston's stochastic volatility ...
We introduce a new analytical approach to price American options. Using an explicit and intuitive pr...