Analytical Approximate Solutions for American Barrier Options with Stochastic Volatility
碩士 === 東吳大學 === 財務工程與精算數學系 === 100 === This study extends the works of Heston (1993) and integrates the Richardson extrapolation technique of Huang et al. (1996) for developing analytical solution of American barrier options with stochastic volatility. By using large sample least-square Monte Carlo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26972447232140922890 |