Enhanced Monte-Carlo Simulation for Pricing American Options with Stochastic Volatility
碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === In this paper, the Richardson extrapolation technique was employed for pricing and hedging American options with stochastic volatility under Monte-Carlo simulation. We first use the Geske and Johnson (1984) Richardson extrapolation method to improve the computa...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/05961801433867954467 |