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...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26972447232140922890 |
| Summary: | 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 Simulations as the benchmarks, we prove that our model is accurate and efficient from the results of numerical experiments. In this study, the analytical solution can not only provide financial engineering academia, to choose the right evaluation of reference in American barrier options with stochastic volatility; the option's issuer and the trader can also use the model in the study to formulate correct stochastic volatility option pricing and hedging strategies.
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