A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models
This paper considers the American option pricing problem under the stochastic volatility models. In particular, we introduce the GARCH model with two heavy-tailed distributions: classical tempered stable (CTS) and normal tempered stable (NTS) distribution. Then we apply the Markov chain approach to...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2016-01-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | http://journal.frontiersin.org/Journal/10.3389/fams.2015.00013/full |