Analytical Solutions for American Options with Stochastic Volatility
碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === By exploiting the Richardson extrapolation and integral representation techniques under Heston (1993) framework, this paper develops analytic solutions for pricing and hedging American options when the volatility of the price of the underlying assets is stochast...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67666836378586546234 |