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American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
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2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Error Estimates Multinomial Approximations American Options Merton's Model
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2010/10/19
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Shortfall Risk Approximations American Options multidimensional Black--Scholes Model
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2010/10/19
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
Quantized Interest Rate at the Money for American Options
Quantized Interest Rate Money for American Options
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2010/10/29
In this work, we expand the idea of Samuelson[3] and Shepp[2,5,6] for stock
optimization using the Bachelier model [4] as our models for the stock price at the money
(X[stock price]= K[strike price]...