Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert

Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert

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The Black-Scholes model and its assumptions has endured its fair share of criticism. One problematic issue is the model’s assumption that market volatility is constant. The past decade has seen numerous publications addressing this issue by adapting the Black-Scholes model to incorporate stochastic...

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Bibliographic Details
Main Author: Joubert, Dominique
Language:en
Published: North-West University 2014
Subjects:
Early exercise boundary
Free boundary value problem
Linear complimentary problem
Crank-Nicolson finite difference method
rojected Over-Relaxation method (PSOR)
Stochastic volatility
Heston stochastic volatility model
Vroeë uitoefengrens
Vrye grenswaardeprobleem
Liniêre komplimentêre probleem
Crank-Nicolson eindige differensiemetode
Geprojekteerde oorverslappingsmetode (PSOR)
Stogastiese volatiliteit
Heston stogastiese volatiliteitsmodel
Online Access:http://hdl.handle.net/10394/10202

Internet

http://hdl.handle.net/10394/10202

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