Analytical Solution for American Options with Stochastic Volatility Using Barrier Options
碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === This paper extends the work of Heston (1993) and integrates the Richardson extrapolation technique and barrier options framework for developing analytical solution for stochastic volatility American options. By using large sample least-square Monte Carlo Simulat...
| 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/40074089696653938873 |