Pricing American/Bermudan-style Options under Stochastic Volatility
A method to price American options under a stochastic volatility framework is introduced which is based on Rambharat and Brockwell (2010). We price American options under the Heston and Bates stochastic volatility models where volatility is assumed to be a latent process. The pricing algorithm is ba...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2021
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| Online Access: | http://hdl.handle.net/11427/32755 |