[BOOK][B] The Heston model and its extensions in Matlab and C

FD Rouah - 2013 - books.google.com
Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

American option pricing under GARCH by a Markov chain approximation

JC Duan, JG Simonato - Journal of Economic Dynamics and Control, 2001 - Elsevier
We propose a numerical method for valuing American options in general and for the
GARCH option pricing model in particular. The method is based on approximating the …

A tree-based method to price American options in the Heston model

M Vellekoop, H Nieuwenhuis - The Journal of Computational …, 2009 - research.utwente.nl
We develop an algorithm to price American options on assets that follow the stochastic
volatility model defined by Heston. We use an approach which is based on a modification of …

Stochastic volatility: option pricing using a multinomial recombining tree

I Florescu, FG Viens - Applied Mathematical Finance, 2008 - Taylor & Francis
The problem of option pricing is treated using the Stochastic Volatility (SV) model: the
volatility of the underlying asset is a function of an exogenous stochastic process, typically …

A simple approach to pricing American options under the Heston stochastic volatility model

NA Beliaeva, SK Nawalkha - Journal of Derivatives, 2010 - search.proquest.com
In a recent study, Nawalkha, Beliaeva, and Zreik (NBZ)(2010) presented a multidimensional
transform for generating path-independent trees for pricing American options under low …

A simple approach for pricing equity options with Markov switching state variables

DD Aingworth, SR Das, R Motwani - Quantitative Finance, 2006 - Taylor & Francis
The pricing of American options on stocks was rendered computable by the work of Cox et
al.(1979)(CRR) and the ensuing work of Jarrow and Rudd (1983). They developed a …

A hybrid approach for the implementation of the Heston model

M Briani, L Caramellino, A Zanette - IMA Journal of Management …, 2017 - academic.oup.com
We propose an efficient hybrid tree/finite difference method in order to approximate the
Heston model (and possibly other stochastic volatility models). We prove the convergence …

Valuing executive stock options: performance hurdles, early exercise and stochastic volatility

P Brown, A Szimayer - Financial Accounting and Equity Markets, 2013 - taylorfrancis.com
Accounting standards require companies to assess the fair value of any stock options
granted to executives and employees. We develop a model for accurately valuing executive …

Nonparametric American option pricing

J Alcock, T Carmichael - Journal of Futures Markets: Futures …, 2008 - Wiley Online Library
A nonparametric method is introduced to accurately price American‐style contingent claims.
This method uses only historical stock price data, not option price data, to generate the …

[PDF][PDF] Pricing American options in the Heston model: a close look on incorporating correlation

P Ruckdeschel, T Sayer, A Szimayer - 2011 - kluedo.ub.rptu.de
We introduce a refined tree method to compute option prices using the stochastic volatility
model of Heston. In a first step, we model the stock and variance process as two separate …