An Efficient Approximation for Pricing American Options under Stochastic Volatility and Double Exponential Jumps
碩士 === 國立交通大學 === 財務金融研究所 === 98 === The goal of the paper is to provide a useful and efficient analytic formula for pricing American options applied by quadratic approximation method that allows for stochastic volatility and double exponential jump. Our results also show that asymmetric jumps play...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92682187728422138592 |